Orphazyme (Denmark) Market Value
| ORPHA Stock | DKK 939.90 10.10 1.06% |
| Symbol | Orphazyme |
Orphazyme '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 Orphazyme's 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 Orphazyme.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Orphazyme on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Orphazyme AS or generate 0.0% return on investment in Orphazyme over 30 days. Orphazyme is related to or competes with Zealand Pharma, Ambu AS, BioPorto, Bavarian Nordic, and Genmab AS. Orphazyme AS, a biopharmaceutical company, develops therapies for the treatment of neurodegenerative orphan diseases More
Orphazyme 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 Orphazyme's 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 Orphazyme AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.26 | |||
| Information Ratio | 0.0145 | |||
| Maximum Drawdown | 24.12 | |||
| Value At Risk | (7.38) | |||
| Potential Upside | 9.47 |
Orphazyme Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Orphazyme's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Orphazyme's standard deviation. In reality, there are many statistical measures that can use Orphazyme historical prices to predict the future Orphazyme's volatility.| Risk Adjusted Performance | 0.0382 | |||
| Jensen Alpha | 0.2394 | |||
| Total Risk Alpha | (0.56) | |||
| Sortino Ratio | 0.0159 | |||
| Treynor Ratio | (0.36) |
Orphazyme AS Backtested Returns
Orphazyme appears to be very steady, given 3 months investment horizon. Orphazyme AS maintains Sharpe Ratio (i.e., Efficiency) of 0.0525, which implies the firm had a 0.0525% return per unit of risk over the last 3 months. We have found thirty technical indicators for Orphazyme AS, which you can use to evaluate the volatility of the company. Please evaluate Orphazyme's Risk Adjusted Performance of 0.0382, coefficient of variation of 2427.31, and Semi Deviation of 3.73 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Orphazyme holds a performance score of 4. The company holds a Beta of -0.5, which implies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Orphazyme are expected to decrease at a much lower rate. During the bear market, Orphazyme is likely to outperform the market. Please check Orphazyme's expected short fall, day median price, and the relationship between the potential upside and accumulation distribution , to make a quick decision on whether Orphazyme's historical price patterns will revert.
Auto-correlation | -0.07 |
Very weak reverse predictability
Orphazyme AS has very weak reverse predictability. Overlapping area represents the amount of predictability between Orphazyme time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th 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 Orphazyme AS price movement. The serial correlation of -0.07 indicates that barely 7.0% of current Orphazyme price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.07 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 1621.58 |
Orphazyme AS lagged returns against current returns
Autocorrelation, which is Orphazyme 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 Orphazyme's stock expected returns. We can calculate the autocorrelation of Orphazyme returns to help us make a trade decision. For example, suppose you find that Orphazyme 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 |
Orphazyme 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 Orphazyme stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Orphazyme stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Orphazyme stock over time.
Current vs Lagged Prices |
| Timeline |
Orphazyme Lagged Returns
When evaluating Orphazyme's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Orphazyme stock have on its future price. Orphazyme 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, Orphazyme autocorrelation shows the relationship between Orphazyme stock current value and its past values and can show if there is a momentum factor associated with investing in Orphazyme AS.
Regressed Prices |
| Timeline |
Pair Trading with Orphazyme
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Orphazyme position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Orphazyme will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Orphazyme could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Orphazyme when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Orphazyme - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Orphazyme AS to buy it.
The correlation of Orphazyme is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Orphazyme moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Orphazyme AS moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Orphazyme can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Orphazyme Stock
Orphazyme financial ratios help investors to determine whether Orphazyme 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 Orphazyme with respect to the benefits of owning Orphazyme security.