Nestl SA (Switzerland) Market Value
| NESN Stock | CHF 89.18 0.06 0.07% |
| 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.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in Nestl SA on December 16, 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 90 days. Nestl SA is related to or competes with Novartis, Roche Holding, Zurich Insurance, Swiss Re, and UBS Group. 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 | 0.9773 | |||
| Information Ratio | 0.2988 | |||
| Maximum Drawdown | 8.32 | |||
| Value At Risk | (1.53) | |||
| Potential Upside | 3.15 |
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 | 0.2008 | |||
| Jensen Alpha | 0.311 | |||
| Total Risk Alpha | 0.4717 | |||
| Sortino Ratio | 0.4187 | |||
| Treynor Ratio | 3.02 |
Nestl SA Backtested Returns
Nestl SA appears to be very steady, given 3 months investment horizon. Nestl SA has Sharpe Ratio of 0.23, which conveys that the firm had a 0.23 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Nestl SA, which you can use to evaluate the volatility of the firm. Please exercise Nestl SA's Downside Deviation of 0.9773, risk adjusted performance of 0.2008, and Mean Deviation of 0.8805 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Nestl SA holds a performance score of 17. The company secures a Beta (Market Risk) of 0.0993, 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. Please check Nestl SA's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to make a quick decision on whether Nestl SA's current price movements will revert.
Auto-correlation | 0.48 |
Average predictability
Nestl SA has average predictability. Overlapping area represents the amount of predictability between Nestl SA time series from 16th of December 2024 to 30th of January 2025 and 30th of January 2025 to 16th 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 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 | 0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 22.09 |
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 |
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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.Additional 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.