Koninklijke Philips (Netherlands) Market Value
| PHIA Stock | EUR 25.03 0.13 0.52% |
| Symbol | Koninklijke |
Koninklijke Philips '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 Philips' 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 Philips.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in Koninklijke Philips on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding Koninklijke Philips NV or generate 0.0% return on investment in Koninklijke Philips over 720 days. Koninklijke Philips is related to or competes with Unilever PLC, ING Groep, Aegon NV, and Koninklijke Ahold. Koninklijke Philips N.V. operates as a health technology company worldwide More
Koninklijke Philips 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 Philips' 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 Philips NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 21.29 | |||
| Value At Risk | (1.77) | |||
| Potential Upside | 2.3 |
Koninklijke Philips Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Koninklijke Philips' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Koninklijke Philips' standard deviation. In reality, there are many statistical measures that can use Koninklijke Philips historical prices to predict the future Koninklijke Philips' volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.41) | |||
| Treynor Ratio | 0.4322 |
Koninklijke Philips Backtested Returns
Koninklijke Philips has Sharpe Ratio of -0.0324, which conveys that the firm had a -0.0324% return per unit of risk over the last 3 months. Koninklijke Philips exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Koninklijke Philips' Standard Deviation of 2.46, risk adjusted performance of (0.02), and Mean Deviation of 1.16 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.21, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Koninklijke Philips are expected to decrease at a much lower rate. During the bear market, Koninklijke Philips is likely to outperform the market. At this point, Koninklijke Philips has a negative expected return of -0.0802%. Please make sure to verify Koninklijke Philips' value at risk, skewness, and the relationship between the maximum drawdown and potential upside , to decide if Koninklijke Philips performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.81 |
Very good predictability
Koninklijke Philips NV has very good predictability. Overlapping area represents the amount of predictability between Koninklijke Philips time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 Philips price movement. The serial correlation of 0.81 indicates that around 81.0% of current Koninklijke Philips price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.81 | |
| Spearman Rank Test | 0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 16.52 |
Koninklijke Philips lagged returns against current returns
Autocorrelation, which is Koninklijke Philips 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 Philips' stock expected returns. We can calculate the autocorrelation of Koninklijke Philips returns to help us make a trade decision. For example, suppose you find that Koninklijke Philips 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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Koninklijke Philips 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 Philips stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Koninklijke Philips stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Koninklijke Philips stock over time.
Current vs Lagged Prices |
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Koninklijke Philips Lagged Returns
When evaluating Koninklijke Philips' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Koninklijke Philips stock have on its future price. Koninklijke Philips 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 Philips autocorrelation shows the relationship between Koninklijke Philips stock current value and its past values and can show if there is a momentum factor associated with investing in Koninklijke Philips NV.
Regressed Prices |
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Thematic Opportunities
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Additional Tools for Koninklijke Stock Analysis
When running Koninklijke Philips' price analysis, check to measure Koninklijke Philips' 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 Koninklijke Philips is operating at the current time. Most of Koninklijke Philips' value examination focuses on studying past and present price action to predict the probability of Koninklijke Philips' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Koninklijke Philips' price. Additionally, you may evaluate how the addition of Koninklijke Philips to your portfolios can decrease your overall portfolio volatility.