Nestlé SA (Germany) Market Value
| NESM Stock | EUR 93.20 0.40 0.43% |
| Symbol | Nestlé |
Nestlé 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 Nestlé 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 Nestlé SA.
| 12/15/2024 |
| 03/15/2025 |
If you would invest 0.00 in Nestlé SA on December 15, 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 Nestlé SA over 90 days. Nestlé SA is related to or competes with ONWARD MEDICAL, SCANDMEDICAL SOLDK, Peijia Medical, Compugroup Medical, Japan Medical, Advanced Medical, and Sixt Leasing. Nestl S.A., together with its subsidiaries, operates as a food and beverage company More
Nestlé 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 Nestlé 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 | 0.2342 | |||
| Maximum Drawdown | 10.44 | |||
| Value At Risk | (1.44) | |||
| Potential Upside | 2.97 |
Nestlé SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nestlé SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nestlé SA's standard deviation. In reality, there are many statistical measures that can use Nestlé SA historical prices to predict the future Nestlé SA's volatility.| Risk Adjusted Performance | 0.1555 | |||
| Jensen Alpha | 0.225 | |||
| Total Risk Alpha | 0.4749 | |||
| Sortino Ratio | 0.2897 | |||
| Treynor Ratio | (0.64) |
Nestlé SA Backtested Returns
Nestlé SA appears to be very steady, given 3 months investment horizon. Nestlé SA has Sharpe Ratio of 0.18, which conveys that the firm had a 0.18 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Nestlé SA, which you can use to evaluate the volatility of the firm. Please exercise Nestlé SA's Downside Deviation of 1.31, risk adjusted performance of 0.1555, and Mean Deviation of 1.05 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Nestlé SA holds a performance score of 13. The company secures a Beta (Market Risk) of -0.43, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Nestlé SA are expected to decrease at a much lower rate. During the bear market, Nestlé SA is likely to outperform the market. Please check Nestlé SA's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to make a quick decision on whether Nestlé SA's current price movements will revert.
Auto-correlation | 0.10 |
Insignificant predictability
Nestl SA has insignificant predictability. Overlapping area represents the amount of predictability between Nestlé SA time series from 15th of December 2024 to 29th of January 2025 and 29th of January 2025 to 15th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Nestlé SA price movement. The serial correlation of 0.1 indicates that less than 10.0% of current Nestlé SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.1 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 22.01 |
Nestlé SA lagged returns against current returns
Autocorrelation, which is Nestlé 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 Nestlé SA's stock expected returns. We can calculate the autocorrelation of Nestlé SA returns to help us make a trade decision. For example, suppose you find that Nestlé 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 |
Nestlé 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 Nestlé SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nestlé SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nestlé SA stock over time.
Current vs Lagged Prices |
| Timeline |
Nestlé SA Lagged Returns
When evaluating Nestlé SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nestlé SA stock have on its future price. Nestlé 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, Nestlé SA autocorrelation shows the relationship between Nestlé 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 |
Currently Active Assets on Macroaxis
Other Information on Investing in Nestlé Stock
Nestlé SA financial ratios help investors to determine whether Nestlé 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 Nestlé with respect to the benefits of owning Nestlé SA security.