Aegon NV (Netherlands) Market Value
| AGN Stock | EUR 5.75 0.05 0.86% |
| Symbol | Aegon |
Aegon NV '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 Aegon NV'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 Aegon NV.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Aegon NV on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Aegon NV or generate 0.0% return on investment in Aegon NV over 30 days. Aegon NV is related to or competes with ING Groep, Koninklijke KPN, ABN Amro, NN Group, and Koninklijke Philips. Aegon N.V. provides a range of financial services in the Americas, Europe, and Asia More
Aegon NV 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 Aegon NV'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 Aegon NV upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.6 | |||
| Information Ratio | 0.0122 | |||
| Maximum Drawdown | 7.98 | |||
| Value At Risk | (1.83) | |||
| Potential Upside | 1.99 |
Aegon NV Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aegon NV's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aegon NV's standard deviation. In reality, there are many statistical measures that can use Aegon NV historical prices to predict the future Aegon NV's volatility.| Risk Adjusted Performance | 0.0569 | |||
| Jensen Alpha | 0.0799 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | 0.0103 | |||
| Treynor Ratio | 0.3954 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aegon NV'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.
Aegon NV Backtested Returns
We consider Aegon NV not too volatile. Aegon NV secures Sharpe Ratio (or Efficiency) of 0.0517, which signifies that the company had a 0.0517% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for Aegon NV, which you can use to evaluate the volatility of the firm. Please confirm Aegon NV's risk adjusted performance of 0.0569, and Mean Deviation of 0.9439 to double-check if the risk estimate we provide is consistent with the expected return of 0.0689%. Aegon NV has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.26, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Aegon NV's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aegon NV is expected to be smaller as well. Aegon NV right now shows a risk of 1.33%. Please confirm Aegon NV coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Aegon NV will be following its price patterns.
Auto-correlation | -0.07 |
Very weak reverse predictability
Aegon NV has very weak reverse predictability. Overlapping area represents the amount of predictability between Aegon NV 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 Aegon NV price movement. The serial correlation of -0.07 indicates that barely 7.0% of current Aegon NV price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.07 | |
| Spearman Rank Test | 0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Aegon NV lagged returns against current returns
Autocorrelation, which is Aegon NV 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 Aegon NV's stock expected returns. We can calculate the autocorrelation of Aegon NV returns to help us make a trade decision. For example, suppose you find that Aegon NV 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 |
Aegon NV 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 Aegon NV stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aegon NV stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aegon NV stock over time.
Current vs Lagged Prices |
| Timeline |
Aegon NV Lagged Returns
When evaluating Aegon NV's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aegon NV stock have on its future price. Aegon NV 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, Aegon NV autocorrelation shows the relationship between Aegon NV stock current value and its past values and can show if there is a momentum factor associated with investing in Aegon NV.
Regressed Prices |
| Timeline |
Pair Trading with Aegon NV
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Aegon NV position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Aegon NV will appreciate offsetting losses from the drop in the long position's value.Moving together with Aegon Stock
| 0.63 | NN | NN Group NV | PairCorr |
| 0.74 | FLOW | Flow Traders BV Earnings Call Today | PairCorr |
Moving against Aegon Stock
| 0.56 | GLPG | Galapagos NV | PairCorr |
The ability to find closely correlated positions to Aegon NV could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Aegon NV when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Aegon NV - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Aegon NV to buy it.
The correlation of Aegon NV is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Aegon NV moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Aegon NV moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Aegon NV can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Aegon NV Correlation, Aegon NV Volatility and Aegon NV Alpha and Beta module to complement your research on Aegon NV. You can also try the Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Aegon Stock analysis
When running Aegon NV's price analysis, check to measure Aegon NV'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 Aegon NV is operating at the current time. Most of Aegon NV's value examination focuses on studying past and present price action to predict the probability of Aegon NV's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Aegon NV's price. Additionally, you may evaluate how the addition of Aegon NV to your portfolios can decrease your overall portfolio volatility.
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Aegon NV 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.