Nestle Bhd (Malaysia) Market Value
| 4707 Stock | 97.10 0.56 0.58% |
| Symbol | Nestle |
Nestle Bhd '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 Nestle Bhd'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 Nestle Bhd.
| 12/14/2022 |
| 12/03/2024 |
If you would invest 0.00 in Nestle Bhd on December 14, 2022 and sell it all today you would earn a total of 0.00 from holding Nestle Bhd or generate 0.0% return on investment in Nestle Bhd over 720 days. Nestle Bhd is related to or competes with Computer Forms, TAS Offshore, Icon Offshore, Greatech Technology, PMB Technology, and Tex Cycle. More
Nestle Bhd 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 Nestle Bhd'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 Nestle Bhd upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 8.29 | |||
| Value At Risk | (2.01) | |||
| Potential Upside | 2.54 |
Nestle Bhd Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nestle Bhd's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nestle Bhd's standard deviation. In reality, there are many statistical measures that can use Nestle Bhd historical prices to predict the future Nestle Bhd's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | (1.08) |
Nestle Bhd Backtested Returns
Nestle Bhd has Sharpe Ratio of -0.0876, which conveys that the firm had a -0.0876% return per unit of risk over the last 3 months. Nestle Bhd exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Nestle Bhd's Mean Deviation of 0.9767, risk adjusted performance of (0.02), and Standard Deviation of 1.38 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.0439, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Nestle Bhd's returns are expected to increase less than the market. However, during the bear market, the loss of holding Nestle Bhd is expected to be smaller as well. At this point, Nestle Bhd has a negative expected return of -0.1%. Please make sure to verify Nestle Bhd's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Nestle Bhd performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.74 |
Good predictability
Nestle Bhd has good predictability. Overlapping area represents the amount of predictability between Nestle Bhd time series from 14th of December 2022 to 9th of December 2023 and 9th of December 2023 to 3rd of December 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 Nestle Bhd price movement. The serial correlation of 0.74 indicates that around 74.0% of current Nestle Bhd price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 89.21 |
Nestle Bhd lagged returns against current returns
Autocorrelation, which is Nestle Bhd 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 Nestle Bhd's stock expected returns. We can calculate the autocorrelation of Nestle Bhd returns to help us make a trade decision. For example, suppose you find that Nestle Bhd 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 |
Nestle Bhd 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 Nestle Bhd stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nestle Bhd stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nestle Bhd stock over time.
Current vs Lagged Prices |
| Timeline |
Nestle Bhd Lagged Returns
When evaluating Nestle Bhd's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nestle Bhd stock have on its future price. Nestle Bhd 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, Nestle Bhd autocorrelation shows the relationship between Nestle Bhd stock current value and its past values and can show if there is a momentum factor associated with investing in Nestle Bhd.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Nestle Stock
Nestle Bhd financial ratios help investors to determine whether Nestle Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Nestle with respect to the benefits of owning Nestle Bhd security.