Novartis (Switzerland) Market Value
| NOVN Stock | CHF 89.12 0.18 0.20% |
| Symbol | Novartis |
Novartis '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 Novartis' 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 Novartis.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Novartis on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Novartis AG or generate 0.0% return on investment in Novartis over 30 days. Novartis is related to or competes with Nestl SA, Zurich Insurance, Swiss Re, and UBS Group. Novartis AG researches, develops, manufactures, and markets healthcare products worldwide More
Novartis 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 Novartis' 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 Novartis AG upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 5.31 | |||
| Value At Risk | (1.91) | |||
| Potential Upside | 1.81 |
Novartis Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Novartis' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Novartis' standard deviation. In reality, there are many statistical measures that can use Novartis historical prices to predict the future Novartis' volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.18) | |||
| Treynor Ratio | (0.44) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Novartis' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Novartis AG Backtested Returns
We consider Novartis very steady. Novartis AG has Sharpe Ratio of 0.0057, which conveys that the firm had a 0.0057% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for Novartis, which you can use to evaluate the volatility of the firm. Please verify Novartis' Mean Deviation of 0.7875, standard deviation of 1.09, and Risk Adjusted Performance of (0.01) to check out if the risk estimate we provide is consistent with the expected return of 0.0063%. The company secures a Beta (Market Risk) of 0.0659, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Novartis' returns are expected to increase less than the market. However, during the bear market, the loss of holding Novartis is expected to be smaller as well. Novartis AG right now secures a risk of 1.11%. Please verify Novartis AG potential upside, kurtosis, daily balance of power, as well as the relationship between the skewness and accumulation distribution , to decide if Novartis AG will be following its current price movements.
Auto-correlation | -0.24 |
Weak reverse predictability
Novartis AG has weak reverse predictability. Overlapping area represents the amount of predictability between Novartis time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th of April 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 Novartis AG price movement. The serial correlation of -0.24 indicates that over 24.0% of current Novartis price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.24 | |
| Spearman Rank Test | 0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 1.56 |
Novartis AG lagged returns against current returns
Autocorrelation, which is Novartis 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 Novartis' stock expected returns. We can calculate the autocorrelation of Novartis returns to help us make a trade decision. For example, suppose you find that Novartis 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 |
Novartis 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 Novartis stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Novartis stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Novartis stock over time.
Current vs Lagged Prices |
| Timeline |
Novartis Lagged Returns
When evaluating Novartis' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Novartis stock have on its future price. Novartis 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, Novartis autocorrelation shows the relationship between Novartis stock current value and its past values and can show if there is a momentum factor associated with investing in Novartis AG.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Novartis in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Novartis' short interest history, or implied volatility extrapolated from Novartis options trading.
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Try AI Portfolio ArchitectCheck out Novartis Correlation, Novartis Volatility and Novartis Alpha and Beta module to complement your research on Novartis. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Novartis Stock analysis
When running Novartis' price analysis, check to measure Novartis' market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Novartis is operating at the current time. Most of Novartis' value examination focuses on studying past and present price action to predict the probability of Novartis' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Novartis' price. Additionally, you may evaluate how the addition of Novartis to your portfolios can decrease your overall portfolio volatility.
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