Nestl SA (Switzerland) Market Value
| NESN Stock | CHF 93.98 0.28 0.30% |
| Symbol | Nestl |
Nestl SA '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 Nestl SA'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 Nestl SA.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Nestl SA on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Nestl SA or generate 0.0% return on investment in Nestl SA over 30 days. Nestl SA is related to or competes with Ams AG, OC Oerlikon, and Helvetia Holding. Nestl S.A., together with its subsidiaries, operates as a food and beverage company More
Nestl SA 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 Nestl SA'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 Nestl SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.31 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 7.31 | |||
| Value At Risk | (1.74) | |||
| Potential Upside | 1.51 |
Nestl SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nestl SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nestl SA's standard deviation. In reality, there are many statistical measures that can use Nestl SA historical prices to predict the future Nestl SA's volatility.| Risk Adjusted Performance | 0.0085 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | (0.04) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Nestl SA'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.
Nestl SA Backtested Returns
Nestl SA has Sharpe Ratio of -0.0155, which conveys that the firm had a -0.0155% return per unit of risk over the last 3 months. Nestl SA exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Nestl SA's Mean Deviation of 0.8951, downside deviation of 1.31, and Risk Adjusted Performance of 0.0085 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.0812, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Nestl SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Nestl SA is expected to be smaller as well. Nestl SA has an expected return of -0.0176%. Please make sure to verify Nestl SA maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Nestl SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.48 |
Modest reverse predictability
Nestl SA has modest reverse predictability. Overlapping area represents the amount of predictability between Nestl SA 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 Nestl SA price movement. The serial correlation of -0.48 indicates that about 48.0% of current Nestl SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.48 | |
| Spearman Rank Test | -0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 2.79 |
Nestl SA lagged returns against current returns
Autocorrelation, which is Nestl SA 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 Nestl SA's stock expected returns. We can calculate the autocorrelation of Nestl SA returns to help us make a trade decision. For example, suppose you find that Nestl SA 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 |
Nestl SA 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 Nestl SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nestl SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nestl SA stock over time.
Current vs Lagged Prices |
| Timeline |
Nestl SA Lagged Returns
When evaluating Nestl SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nestl SA stock have on its future price. Nestl SA 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, Nestl SA autocorrelation shows the relationship between Nestl SA stock current value and its past values and can show if there is a momentum factor associated with investing in Nestl SA.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Nestl SA Correlation, Nestl SA Volatility and Nestl SA Alpha and Beta module to complement your research on Nestl SA. You can also try the CEOs Directory module to screen CEOs from public companies around the world.
Complementary Tools for Nestl Stock analysis
When running Nestl SA's price analysis, check to measure Nestl SA'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 Nestl SA is operating at the current time. Most of Nestl SA's value examination focuses on studying past and present price action to predict the probability of Nestl SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Nestl SA's price. Additionally, you may evaluate how the addition of Nestl SA to your portfolios can decrease your overall portfolio volatility.
| Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges | |
| Commodity Directory Find actively traded commodities issued by global exchanges | |
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Fundamentals Comparison Compare fundamentals across multiple equities to find investing opportunities |
Nestl SA 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.