NTT DATA (Germany) Market Value
| NT5 Stock | EUR 18.00 0.40 2.27% |
| Symbol | NTT |
NTT DATA '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 NTT DATA'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 NTT DATA.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in NTT DATA on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding NTT DATA or generate 0.0% return on investment in NTT DATA over 180 days. NTT DATA is related to or competes with ELMOS SEMICONDUCTOR, Taiwan Semiconductor, MHP Hotel, ON SEMICONDUCTOR, Host Hotels, NH HOTEL, and MagnaChip Semiconductor. More
NTT DATA 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 NTT DATA'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 NTT DATA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.52 | |||
| Information Ratio | 0.1249 | |||
| Maximum Drawdown | 15.99 | |||
| Value At Risk | (3.47) | |||
| Potential Upside | 3.55 |
NTT DATA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NTT DATA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NTT DATA's standard deviation. In reality, there are many statistical measures that can use NTT DATA historical prices to predict the future NTT DATA's volatility.| Risk Adjusted Performance | 0.1436 | |||
| Jensen Alpha | 0.405 | |||
| Total Risk Alpha | 0.0199 | |||
| Sortino Ratio | 0.127 | |||
| Treynor Ratio | 1.35 |
NTT DATA Backtested Returns
NTT DATA appears to be not too volatile, given 3 months investment horizon. NTT DATA has Sharpe Ratio of 0.16, which conveys that the firm had a 0.16% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for NTT DATA, which you can use to evaluate the volatility of the firm. Please exercise NTT DATA's Market Risk Adjusted Performance of 1.36, mean deviation of 1.8, and Risk Adjusted Performance of 0.1436 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, NTT DATA holds a performance score of 12. The company secures a Beta (Market Risk) of 0.33, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, NTT DATA's returns are expected to increase less than the market. However, during the bear market, the loss of holding NTT DATA is expected to be smaller as well. Please check NTT DATA's sortino ratio, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to make a quick decision on whether NTT DATA's current price movements will revert.
Auto-correlation | -0.33 |
Poor reverse predictability
NTT DATA has poor reverse predictability. Overlapping area represents the amount of predictability between NTT DATA time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 2024 to 30th 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 NTT DATA price movement. The serial correlation of -0.33 indicates that nearly 33.0% of current NTT DATA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.33 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 1.35 |
NTT DATA lagged returns against current returns
Autocorrelation, which is NTT DATA 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 NTT DATA's stock expected returns. We can calculate the autocorrelation of NTT DATA returns to help us make a trade decision. For example, suppose you find that NTT DATA 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 |
NTT DATA 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 NTT DATA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NTT DATA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NTT DATA stock over time.
Current vs Lagged Prices |
| Timeline |
NTT DATA Lagged Returns
When evaluating NTT DATA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NTT DATA stock have on its future price. NTT DATA 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, NTT DATA autocorrelation shows the relationship between NTT DATA stock current value and its past values and can show if there is a momentum factor associated with investing in NTT DATA .
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Additional Tools for NTT Stock Analysis
When running NTT DATA's price analysis, check to measure NTT DATA'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 NTT DATA is operating at the current time. Most of NTT DATA's value examination focuses on studying past and present price action to predict the probability of NTT DATA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move NTT DATA's price. Additionally, you may evaluate how the addition of NTT DATA to your portfolios can decrease your overall portfolio volatility.