NORTHEAST UTILITIES (Germany) Market Value
| NWJ Stock | EUR 60.50 1.00 1.68% |
| Symbol | NORTHEAST |
NORTHEAST UTILITIES '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 NORTHEAST UTILITIES'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 NORTHEAST UTILITIES.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in NORTHEAST UTILITIES on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding NORTHEAST UTILITIES or generate 0.0% return on investment in NORTHEAST UTILITIES over 720 days. NORTHEAST UTILITIES is related to or competes with Comba Telecom, MAVEN WIRELESS, Gamma Communications, DeVry Education, Entravision Communications, Strategic Education, and IDP EDUCATION. More
NORTHEAST UTILITIES 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 NORTHEAST UTILITIES'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 NORTHEAST UTILITIES upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.66 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 5.84 | |||
| Value At Risk | (1.69) | |||
| Potential Upside | 1.74 |
NORTHEAST UTILITIES Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NORTHEAST UTILITIES's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NORTHEAST UTILITIES's standard deviation. In reality, there are many statistical measures that can use NORTHEAST UTILITIES historical prices to predict the future NORTHEAST UTILITIES's volatility.| Risk Adjusted Performance | 0.0445 | |||
| Jensen Alpha | 0.0482 | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 1.41 |
NORTHEAST UTILITIES Backtested Returns
At this point, NORTHEAST UTILITIES is very steady. NORTHEAST UTILITIES has Sharpe Ratio of 0.0331, which conveys that the firm had a 0.0331% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for NORTHEAST UTILITIES, which you can use to evaluate the volatility of the firm. Please verify NORTHEAST UTILITIES's Mean Deviation of 0.8324, risk adjusted performance of 0.0445, and Market Risk Adjusted Performance of 1.42 to check out if the risk estimate we provide is consistent with the expected return of 0.0381%. NORTHEAST UTILITIES has a performance score of 2 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.0375, which conveys not very significant fluctuations relative to the market. As returns on the market increase, NORTHEAST UTILITIES's returns are expected to increase less than the market. However, during the bear market, the loss of holding NORTHEAST UTILITIES is expected to be smaller as well. NORTHEAST UTILITIES currently secures a risk of 1.15%. Please verify NORTHEAST UTILITIES maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if NORTHEAST UTILITIES will be following its current price movements.
Auto-correlation | -0.77 |
Almost perfect reverse predictability
NORTHEAST UTILITIES has almost perfect reverse predictability. Overlapping area represents the amount of predictability between NORTHEAST UTILITIES 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 NORTHEAST UTILITIES price movement. The serial correlation of -0.77 indicates that around 77.0% of current NORTHEAST UTILITIES price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.77 | |
| Spearman Rank Test | -0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 13.58 |
NORTHEAST UTILITIES lagged returns against current returns
Autocorrelation, which is NORTHEAST UTILITIES 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 NORTHEAST UTILITIES's stock expected returns. We can calculate the autocorrelation of NORTHEAST UTILITIES returns to help us make a trade decision. For example, suppose you find that NORTHEAST UTILITIES 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 |
NORTHEAST UTILITIES 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 NORTHEAST UTILITIES stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NORTHEAST UTILITIES stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NORTHEAST UTILITIES stock over time.
Current vs Lagged Prices |
| Timeline |
NORTHEAST UTILITIES Lagged Returns
When evaluating NORTHEAST UTILITIES's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NORTHEAST UTILITIES stock have on its future price. NORTHEAST UTILITIES 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, NORTHEAST UTILITIES autocorrelation shows the relationship between NORTHEAST UTILITIES stock current value and its past values and can show if there is a momentum factor associated with investing in NORTHEAST UTILITIES.
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.Other Information on Investing in NORTHEAST Stock
NORTHEAST UTILITIES financial ratios help investors to determine whether NORTHEAST 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 NORTHEAST with respect to the benefits of owning NORTHEAST UTILITIES security.