The price chart shows robust growth from an initial
value of 14,000 to a closing price of 65,160, representing a total return of
365.43%.
This analysis includes three trend lines: one linear
and two polynomial lines, one of order 6 and the other of order 3. The
polynomial line of order 6 has the highest coefficient of determination (R² =
92.70%), indicating that it accurately captures the cyclical fluctuations and
volatility of the asset.
The linear model suggests continued growth toward
85,657 over a 360-day horizon. However, the polynomial nature of the trend line
indicates that the current price is in an acceleration phase. Historically,
these spikes often precede technical corrections that seek the mean.
The relationship between the mean (40,302), median
(43,340), and mode (18,460) is fundamental to understanding the risk.
The value of -0.017 indicates a nearly imperceptible
negative skewness (quasi-symmetric distribution), but the fact that the median
is greater than the mean suggests that most price closes are above the historical average, which is positive for a
"growth" thesis.
The kurtosis value of -1.34 (Platykurtic) is vital. A
platykurtic distribution has thinner tails than a normal distribution. In
finance, this indicates that extreme events (black swans or catastrophic
crashes) have been less frequent during this period than in a standard normal
distribution. There is greater dispersion, but less "tail risk."
The 42,950 - 52,949 range has the highest frequency
(215 days), establishing a zone of strong psychological and operational
support.
With a Z-score of 1.61 and a cumulative probability
(p) of 94.62%, the current price (X = 65,160) is at the upper end of the
historical distribution. This means that only 5.38% (q) of the time has the
price been or would be above this level under current conditions.
From a statistical and econometric perspective, my
diagnosis is Operational Caution (Hold/Wait for a Pullback) for the following
reasons:
The current price is at the 95th percentile (94.62%
probability). Buying here would place you in the "right tail" of the
distribution, where statistically the probability of a mean reversion (40,302)
is higher than that of an immediate continuation at the same rate.
Although the average monthly return is attractive
(1.25%), the asset has recently risen parabolically.
While the 360-day target is higher (85,657), entering
at the highest point of the current study reduces the margin of safety.
A massive entry ("all-in") at this 65,160
level is not recommended. Ideally, one should wait for a correction towards the
higher-frequency zone identified in the histogram (42,950 - 52,949) or make
discrete purchases (DCA) to average down the cost, given that the series'
long-term bias remains bullish.
Studying Value at Risk (VaR) is the logical next step
to quantify the risk identified in the tables in monetary terms.
VaR answers the key question: "What is the
maximum I can expect to lose in a day (or period) with a given level of
certainty?"
Based on this analysis using the standard deviation
data (15,445) and the current price (65,160), the parametric (or analytical)
VaR can be calculated.
Individual VaR Calculation
For financial assets, we typically use a confidence
level of 95% or 99%. For 95% confidence, the critical Z-value is 1.645. For 99% confidence, the critical Z-value is 2.326.
Using
the parametric VaR formula:
Where sigma is the standard deviation of your data:
Where the VaR (95%) is 25,407.96 and the (99%) is
35,926.39.
If you decide to invest in Nubank at the current
price of 65,160:
There is a 95% probability that, under normal market
conditions, your loss will not exceed 25,407.96 monetary units over the study's
time horizon. In other words, there is only a 5% chance that you will suffer a
loss greater than that amount.
In the table, the kurtosis is -1.34 (Platykurtic).
This is excellent news for calculating VaR:
Because it is negative, the distribution has
"thin tails." This means that the calculated VaR is more reliable, as
there is less probability of "extreme events" outside the range
predicted by the standard deviation. In distributions with positive kurtosis
(leptokurtic), the VaR tends to underestimate the true risk.
The asset has exceptional growth, but the VaR
indicates high volatility (a deviation of more than 15,000 from a price of
65,000).
Given that the current price is in the
"probability reached" zone of 94.62%, the risk of a correction
reaching the VaR level (a drop of approximately 25,000) is statistically
possible if the market decides to adjust towards the average of 40,302.
While the previous statistical analysis showed an
asset with impeccable historical growth (high R² and a return of 365%), the
current technical analysis is bearish or corrective in nature.
The fact that 10 of the 12 moving averages are
indicating a "Sell" signal is a critical warning sign. The current
price is crossing below its short- and medium-term averages (MA5 to MA100),
confirming that the immediate trend has broken to the downside. Only the MA200
(Simple and Exponential) maintains a buy signal, validating that the long-term
trend remains intact, but the current price is corrective.
The RSI (38.28) is approaching the oversold zone
(30), but still has room to fall further. The Stochastic Oscillator (93.77)
indicates extreme overbought conditions, suggesting that any recent rebound was
weak and the price is exhausted. The ATR (1680) shows increased volatility,
indicating that price movements will be more abrupt, increasing execution risk.
The cumulative probability is 94.62% in the long term
and 5.38% in the short term.
Statistically, the asset has reached levels that only
occur 5% of the time in its history. In investment terms, this is known as a
stretched asset. The probability of the
price continuing to rise without a prior correction is only 5.38%.
The market is attempting to return to the area of
greatest density on the histogram we saw earlier (the equilibrium zone). Investing.com's data provides context on the company's
health: The P/E ratio (32.2x) is a high valuation for the traditional financial
sector, but reasonable for a high-growth fintech. However, the Price-to-Book
ratio (7.6x) suggests that the market is paying 7.6 times Nubank's book value,
a considerable risk premium.
The
return on equity (ROE) of 27.8% is extraordinary. It indicates very efficient
capital management, which explains why the long-term trend has been so bullish.
Based
on Camarilla and Fibonacci levels, the central pivot point is at 65,653.
Since
the last close is below this point, the bias is bearish towards the support
levels S1 (64,306) and S2 (63,453).
If
the price breaks S3 (62,106), we would enter a phase of technical capitulation
where the polynomial regression statistical model would begin to target the
40,000 moving average.
Confirming
the assessment of uncertainty, the final technical-econometric recommendation
is: Do not buy at this time. The technical analysis (10 sells vs. 2 buys)
invalidates an immediate entry despite the optimism of the 360-day linear
forecast. The risk of "catching a falling knife" is high.
The
Highs/Lows indicator (-3020) and the Bull/Bear Power (-4168) show that sellers
have complete control of the current order flow.
Wait
for the oscillators (RSI and Stochastic) to reach extreme oversold levels and
for the price to test the Fibonacci support (63,453). Only If the price stabilizes at these levels, the long-term
probability of 94.62% would again favor the investor. The company is
fundamentally sound (ROE 27.8%), but the price is undergoing a severe technical
correction after reaching extreme probability levels. Moderation is, indeed,
the wisest course of action at this time.
