Nova (Israel) Market Value
| NVMI Stock | ILA 63,370 150.00 0.24% |
| Symbol | Nova |
Nova '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 Nova'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 Nova.
| 05/17/2022 |
| 05/06/2024 |
If you would invest 0.00 in Nova on May 17, 2022 and sell it all today you would earn a total of 0.00 from holding Nova or generate 0.0% return on investment in Nova over 720 days. Nova is related to or competes with Tower Semiconductor, Nice, Elbit Systems, and Sapiens International. Nova Measuring Instruments Ltd. designs, develops, produces, and sells process control systems used in the manufacture o... More
Nova 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 Nova'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 Nova upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.23 | |||
| Information Ratio | 0.1411 | |||
| Maximum Drawdown | 18.22 | |||
| Value At Risk | (2.46) | |||
| Potential Upside | 4.77 |
Nova Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nova's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nova's standard deviation. In reality, there are many statistical measures that can use Nova historical prices to predict the future Nova's volatility.| Risk Adjusted Performance | 0.1161 | |||
| Jensen Alpha | 0.4246 | |||
| Total Risk Alpha | 0.1496 | |||
| Sortino Ratio | 0.1631 | |||
| Treynor Ratio | 3.84 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Nova's 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.
Nova Backtested Returns
Nova appears to be very steady, given 3 months investment horizon. Nova has Sharpe Ratio of 0.14, which conveys that the firm had a 0.14% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Nova, which you can use to evaluate the volatility of the firm. Please exercise Nova's Downside Deviation of 2.23, mean deviation of 1.83, and Risk Adjusted Performance of 0.1161 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Nova holds a performance score of 11. The company secures a Beta (Market Risk) of 0.11, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Nova's returns are expected to increase less than the market. However, during the bear market, the loss of holding Nova is expected to be smaller as well. Please check Nova's treynor ratio, value at risk, downside variance, as well as the relationship between the maximum drawdown and potential upside , to make a quick decision on whether Nova's current price movements will revert.
Auto-correlation | 0.38 |
Below average predictability
Nova has below average predictability. Overlapping area represents the amount of predictability between Nova time series from 17th of May 2022 to 12th of May 2023 and 12th of May 2023 to 6th of May 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 Nova price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Nova price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | -0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 77.6 M |
Nova lagged returns against current returns
Autocorrelation, which is Nova 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 Nova's stock expected returns. We can calculate the autocorrelation of Nova returns to help us make a trade decision. For example, suppose you find that Nova 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 |
Nova 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 Nova stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nova stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nova stock over time.
Current vs Lagged Prices |
| Timeline |
Nova Lagged Returns
When evaluating Nova's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nova stock have on its future price. Nova 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, Nova autocorrelation shows the relationship between Nova stock current value and its past values and can show if there is a momentum factor associated with investing in Nova.
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 Nova 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, Nova's short interest history, or implied volatility extrapolated from Nova options trading.
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Complementary Tools for Nova Stock analysis
When running Nova's price analysis, check to measure Nova's 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 Nova is operating at the current time. Most of Nova's value examination focuses on studying past and present price action to predict the probability of Nova's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Nova's price. Additionally, you may evaluate how the addition of Nova to your portfolios can decrease your overall portfolio volatility.
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Nova technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.