Orphazyme Backtesting

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ORPHA -- Denmark Stock  

DKK 84.60  0.40  0.48%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Orphazyme AS and determine expected loss or profit from investing in Orphazyme over given investment horizon. Please check Orphazyme Hype Analysis, Orphazyme Correlation, Orphazyme Valuation, Orphazyme Volatility as well as analyze Orphazyme Alpha and Beta and Orphazyme Performance.

Orphazyme 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in Orphazyme on December 31, 2019 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 90 days. Orphazyme is related to or competes with Genmab AS, and . Orphazyme AS, a biopharmaceutical company, develops therapies for the treatment of orphan protein-misfolding diseases

Orphazyme Upside/Downside Indicators

Downside Deviation7.36
Information Ratio0.1234
Maximum Drawdown32.34
Value At Risk(12.94)
Potential Upside9.31

Orphazyme Market Premium Indicators

Risk Adjusted Performance0.2531
Jensen Alpha0.4054
Total Risk Alpha0.9952
Sortino Ratio0.1033
Treynor Ratio46.23

Orphazyme AS Backtested Returns

Macroaxis considers Orphazyme somewhat reliable given 3 months investment horizon. Orphazyme AS maintains Sharpe Ratio (i.e. Efficiency) of 0.0662, which implies the corporation had 0.0662% of return per unit of risk over the last 3 months. Our philosophy towards forecasting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Orphazyme AS, which you can use to evaluate future volatility of the company. Please employ Orphazyme AS Coefficient Of Variation of 1495.39, Risk Adjusted Performance of 0.2531 and Semi Deviation of 6.82 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Orphazyme holds performance score of 4. The organization holds a Beta of 0.0087, which implies as returns on market increase, Orphazyme returns are expected to increase less than the market. However, during bear market, the loss on holding Orphazyme will be expected to be smaller as well. Although it is vital to follow to Orphazyme AS current trending patterns, it is good to be conservative about what you can actually do with the information regarding equity existing price patterns. The philosophy towards forecasting future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Orphazyme AS technical indicators you can presently evaluate if the expected return of 0.4328% will be sustainable into the future. Please employ Orphazyme AS Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to make a quick decision on weather Orphazyme historical price patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.83) 
correlation synergy

Excellent reverse predictability

Orphazyme AS has excellent reverse predictability. Overlapping area represents the amount of predictability between Orphazyme time series from December 31, 2019 to February 14, 2020 and February 14, 2020 to March 30, 2020. 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 -0.83 indicates that around 83.0% of current Orphazyme price fluctuation can be explain by its past prices. Given that Orphazyme AS has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Orphazyme for similar time interval.
Correlation Coefficient-0.83
Spearman Rank Test-0.8
Residual Average0.0
Price Variance270.1

Orphazyme AS lagged returns against current returns

 Current and Lagged Values 

Orphazyme regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Orphazyme Lagged Returns

 Regressed Prices 

Current Sentiment - ORPHA

Orphazyme AS Investor Sentiment

Macroaxis portfolio users are evenly split in their perspective on investing in Orphazyme AS. What is your perspective on investing in Orphazyme AS? Are you bullish or bearish?
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50% Bearish

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Please check Orphazyme Hype Analysis, Orphazyme Correlation, Orphazyme Valuation, Orphazyme Volatility as well as analyze Orphazyme Alpha and Beta and Orphazyme Performance. Please also try Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page