Nomura Holdings (Germany) Market Value
| NSE Stock | EUR 5.70 0.04 0.71% |
| Symbol | Nomura |
Nomura Holdings 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Nomura Holdings' stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Nomura Holdings.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in Nomura Holdings on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding Nomura Holdings or generate 0.0% return on investment in Nomura Holdings over 480 days. Nomura Holdings is related to or competes with Superior Plus, SIVERS SEMICONDUCTORS, RYOHIN UNSPADR1, Vanguard Funds, Meli Hotels, Heidelberg Materials, and Biogen. Nomura Holdings, Inc. provides various financial services to individuals, corporations, financial institutions, governme... More
Nomura Holdings Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Nomura Holdings' stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Nomura Holdings upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.45 | |||
| Information Ratio | 0.0707 | |||
| Maximum Drawdown | 6.8 | |||
| Value At Risk | (2.24) | |||
| Potential Upside | 3.59 |
Nomura Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nomura Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nomura Holdings' standard deviation. In reality, there are many statistical measures that can use Nomura Holdings historical prices to predict the future Nomura Holdings' volatility.| Risk Adjusted Performance | 0.1103 | |||
| Jensen Alpha | 0.1652 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.0817 | |||
| Treynor Ratio | 0.3924 |
Nomura Holdings Backtested Returns
Nomura Holdings appears to be somewhat reliable, given 3 months investment horizon. Nomura Holdings has Sharpe Ratio of 0.17, which conveys that the firm had a 0.17% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Nomura Holdings, which you can use to evaluate the volatility of the firm. Please exercise Nomura Holdings' Downside Deviation of 1.45, risk adjusted performance of 0.1103, and Mean Deviation of 1.32 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Nomura Holdings holds a performance score of 13. The company secures a Beta (Market Risk) of 0.59, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Nomura Holdings' returns are expected to increase less than the market. However, during the bear market, the loss of holding Nomura Holdings is expected to be smaller as well. Please check Nomura Holdings' total risk alpha, value at risk, expected short fall, as well as the relationship between the treynor ratio and downside variance , to make a quick decision on whether Nomura Holdings' current price movements will revert.
Auto-correlation | -0.23 |
Weak reverse predictability
Nomura Holdings has weak reverse predictability. Overlapping area represents the amount of predictability between Nomura Holdings time series from 19th of August 2023 to 15th of April 2024 and 15th of April 2024 to 11th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Nomura Holdings price movement. The serial correlation of -0.23 indicates that over 23.0% of current Nomura Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
Nomura Holdings lagged returns against current returns
Autocorrelation, which is Nomura Holdings stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Nomura Holdings' stock expected returns. We can calculate the autocorrelation of Nomura Holdings returns to help us make a trade decision. For example, suppose you find that Nomura Holdings has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Nomura Holdings regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Nomura Holdings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nomura Holdings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nomura Holdings stock over time.
Current vs Lagged Prices |
| Timeline |
Nomura Holdings Lagged Returns
When evaluating Nomura Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nomura Holdings stock have on its future price. Nomura Holdings autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Nomura Holdings autocorrelation shows the relationship between Nomura Holdings stock current value and its past values and can show if there is a momentum factor associated with investing in Nomura Holdings.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Nomura Stock
Nomura Holdings financial ratios help investors to determine whether Nomura Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Nomura with respect to the benefits of owning Nomura Holdings security.