National Retail (Germany) Market Value
| CZ2 Stock | 41.69 0.10 0.24% |
| Symbol | National |
National Retail '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 National Retail'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 National Retail.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in National Retail on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding National Retail Properties or generate 0.0% return on investment in National Retail over 720 days. National Retail is related to or competes with Apple, Apple, Apple, Apple, Apple, Microsoft, and Microsoft. More
National Retail 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 National Retail'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 National Retail Properties upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.52 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 10.16 | |||
| Value At Risk | (2.21) | |||
| Potential Upside | 3.1 |
National Retail Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for National Retail's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as National Retail's standard deviation. In reality, there are many statistical measures that can use National Retail historical prices to predict the future National Retail's volatility.| Risk Adjusted Performance | 0.0236 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.22) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.0501 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of National Retail'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.
National Retail Prop Backtested Returns
Currently, National Retail Properties is very steady. National Retail Prop has Sharpe Ratio of 0.0118, which conveys that the firm had a 0.0118% return per unit of risk over the last 3 months. We have found thirty technical indicators for National Retail, which you can use to evaluate the volatility of the firm. Please verify National Retail's Downside Deviation of 1.52, risk adjusted performance of 0.0236, and Mean Deviation of 1.02 to check out if the risk estimate we provide is consistent with the expected return of 0.0183%. The company secures a Beta (Market Risk) of 0.55, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, National Retail's returns are expected to increase less than the market. However, during the bear market, the loss of holding National Retail is expected to be smaller as well. National Retail Prop right now secures a risk of 1.55%. Please verify National Retail Properties expected short fall, day median price, and the relationship between the potential upside and accumulation distribution , to decide if National Retail Properties will be following its current price movements.
Auto-correlation | -0.86 |
Excellent reverse predictability
National Retail Properties has excellent reverse predictability. Overlapping area represents the amount of predictability between National Retail time series from 7th of December 2022 to 2nd of December 2023 and 2nd of December 2023 to 26th of November 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 National Retail Prop price movement. The serial correlation of -0.86 indicates that approximately 86.0% of current National Retail price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.86 | |
| Spearman Rank Test | -0.76 | |
| Residual Average | 0.0 | |
| Price Variance | 6.79 |
National Retail Prop lagged returns against current returns
Autocorrelation, which is National Retail 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 National Retail's stock expected returns. We can calculate the autocorrelation of National Retail returns to help us make a trade decision. For example, suppose you find that National Retail 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 |
National Retail 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 National Retail stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if National Retail stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in National Retail stock over time.
Current vs Lagged Prices |
| Timeline |
National Retail Lagged Returns
When evaluating National Retail's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of National Retail stock have on its future price. National Retail 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, National Retail autocorrelation shows the relationship between National Retail stock current value and its past values and can show if there is a momentum factor associated with investing in National Retail Properties.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for National Stock Analysis
When running National Retail's price analysis, check to measure National Retail'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 National Retail is operating at the current time. Most of National Retail's value examination focuses on studying past and present price action to predict the probability of National Retail's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move National Retail's price. Additionally, you may evaluate how the addition of National Retail to your portfolios can decrease your overall portfolio volatility.