Koninklijke Heijmans (Netherlands) Market Value
| HEIJM Stock | EUR 27.50 1.00 3.51% |
| Symbol | Koninklijke |
Koninklijke Heijmans '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 Koninklijke Heijmans' 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 Koninklijke Heijmans.
| 12/03/2023 |
| 11/27/2024 |
If you would invest 0.00 in Koninklijke Heijmans on December 3, 2023 and sell it all today you would earn a total of 0.00 from holding Koninklijke Heijmans NV or generate 0.0% return on investment in Koninklijke Heijmans over 360 days. Koninklijke Heijmans is related to or competes with Koninklijke BAM, PostNL NV, ForFarmers, Flow Traders, and ASR Nederland. Heijmans N.V. engages in the property development, residential and non-residential building, and infrastructure business... More
Koninklijke Heijmans 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 Koninklijke Heijmans' 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 Koninklijke Heijmans NV upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.45 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 17.14 | |||
| Value At Risk | (3.31) | |||
| Potential Upside | 4.38 |
Koninklijke Heijmans Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Koninklijke Heijmans' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Koninklijke Heijmans' standard deviation. In reality, there are many statistical measures that can use Koninklijke Heijmans historical prices to predict the future Koninklijke Heijmans' volatility.| Risk Adjusted Performance | 0.039 | |||
| Jensen Alpha | 0.0307 | |||
| Total Risk Alpha | (0.32) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.1736 |
Koninklijke Heijmans Backtested Returns
At this point, Koninklijke Heijmans is not too volatile. Koninklijke Heijmans has Sharpe Ratio of 0.0333, which conveys that the firm had a 0.0333% return per unit of risk over the last 3 months. We have found thirty technical indicators for Koninklijke Heijmans, which you can use to evaluate the volatility of the firm. Please verify Koninklijke Heijmans' Mean Deviation of 1.83, downside deviation of 2.45, and Risk Adjusted Performance of 0.039 to check out if the risk estimate we provide is consistent with the expected return of 0.0885%. Koninklijke Heijmans has a performance score of 2 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.58, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Koninklijke Heijmans' returns are expected to increase less than the market. However, during the bear market, the loss of holding Koninklijke Heijmans is expected to be smaller as well. Koninklijke Heijmans right now secures a risk of 2.66%. Please verify Koninklijke Heijmans NV sortino ratio, skewness, price action indicator, as well as the relationship between the potential upside and rate of daily change , to decide if Koninklijke Heijmans NV will be following its current price movements.
Auto-correlation | 0.66 |
Good predictability
Koninklijke Heijmans NV has good predictability. Overlapping area represents the amount of predictability between Koninklijke Heijmans time series from 3rd of December 2023 to 31st of May 2024 and 31st of May 2024 to 27th 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 Koninklijke Heijmans price movement. The serial correlation of 0.66 indicates that around 66.0% of current Koninklijke Heijmans price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 6.42 |
Koninklijke Heijmans lagged returns against current returns
Autocorrelation, which is Koninklijke Heijmans 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 Koninklijke Heijmans' stock expected returns. We can calculate the autocorrelation of Koninklijke Heijmans returns to help us make a trade decision. For example, suppose you find that Koninklijke Heijmans 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 |
Koninklijke Heijmans 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 Koninklijke Heijmans stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Koninklijke Heijmans stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Koninklijke Heijmans stock over time.
Current vs Lagged Prices |
| Timeline |
Koninklijke Heijmans Lagged Returns
When evaluating Koninklijke Heijmans' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Koninklijke Heijmans stock have on its future price. Koninklijke Heijmans 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, Koninklijke Heijmans autocorrelation shows the relationship between Koninklijke Heijmans stock current value and its past values and can show if there is a momentum factor associated with investing in Koninklijke Heijmans NV.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Koninklijke Stock
Koninklijke Heijmans financial ratios help investors to determine whether Koninklijke 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 Koninklijke with respect to the benefits of owning Koninklijke Heijmans security.