Northrop Grumman (Germany) Market Value
| NTH Stock | EUR 477.00 0.50 0.10% |
| Symbol | Northrop |
Northrop Grumman '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 Northrop Grumman'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 Northrop Grumman.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in Northrop Grumman on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding Northrop Grumman or generate 0.0% return on investment in Northrop Grumman over 720 days. Northrop Grumman is related to or competes with Raytheon Technologies, Boeing, Boeing, and Airbus SE. Northrop Grumman Corporation operates as a security company More
Northrop Grumman 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 Northrop Grumman'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 Northrop Grumman upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.11 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 8.03 | |||
| Value At Risk | (1.57) | |||
| Potential Upside | 2.26 |
Northrop Grumman Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Northrop Grumman's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Northrop Grumman's standard deviation. In reality, there are many statistical measures that can use Northrop Grumman historical prices to predict the future Northrop Grumman's volatility.| Risk Adjusted Performance | 0.0533 | |||
| Jensen Alpha | 4.0E-4 | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.1214 |
Northrop Grumman Backtested Returns
At this point, Northrop Grumman is very steady. Northrop Grumman has Sharpe Ratio of 0.045, which conveys that the firm had a 0.045% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Northrop Grumman, which you can use to evaluate the volatility of the firm. Please verify Northrop Grumman's Mean Deviation of 0.9736, downside deviation of 1.11, and Risk Adjusted Performance of 0.0533 to check out if the risk estimate we provide is consistent with the expected return of 0.0615%. Northrop Grumman has a performance score of 3 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.63, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Northrop Grumman's returns are expected to increase less than the market. However, during the bear market, the loss of holding Northrop Grumman is expected to be smaller as well. Northrop Grumman right now secures a risk of 1.37%. Please verify Northrop Grumman treynor ratio, downside variance, kurtosis, as well as the relationship between the value at risk and expected short fall , to decide if Northrop Grumman will be following its current price movements.
Auto-correlation | 0.03 |
Virtually no predictability
Northrop Grumman has virtually no predictability. Overlapping area represents the amount of predictability between Northrop Grumman 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 Northrop Grumman price movement. The serial correlation of 0.03 indicates that only 3.0% of current Northrop Grumman price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.03 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 818.66 |
Northrop Grumman lagged returns against current returns
Autocorrelation, which is Northrop Grumman 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 Northrop Grumman's stock expected returns. We can calculate the autocorrelation of Northrop Grumman returns to help us make a trade decision. For example, suppose you find that Northrop Grumman 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 |
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Northrop Grumman 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 Northrop Grumman stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Northrop Grumman stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Northrop Grumman stock over time.
Current vs Lagged Prices |
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Northrop Grumman Lagged Returns
When evaluating Northrop Grumman's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Northrop Grumman stock have on its future price. Northrop Grumman 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, Northrop Grumman autocorrelation shows the relationship between Northrop Grumman stock current value and its past values and can show if there is a momentum factor associated with investing in Northrop Grumman.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in Northrop Stock
When determining whether Northrop Grumman offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Northrop Grumman's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Northrop Grumman Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Northrop Grumman Stock:Check out Northrop Grumman Correlation, Northrop Grumman Volatility and Northrop Grumman Alpha and Beta module to complement your research on Northrop Grumman. For more detail on how to invest in Northrop Stock please use our How to Invest in Northrop Grumman guide.You can also try the Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
Northrop Grumman technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.