Heineken (Netherlands) Market Value
| HEIA Stock | EUR 92.80 0.34 0.37% |
| Symbol | Heineken |
Heineken '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 Heineken'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 Heineken.
| 09/29/2023 |
| 04/26/2024 |
If you would invest 0.00 in Heineken on September 29, 2023 and sell it all today you would earn a total of 0.00 from holding Heineken or generate 0.0% return on investment in Heineken over 210 days. Heineken is related to or competes with Unilever PLC, Koninklijke Philips, Akzo Nobel, and Koninklijke Ahold. Heineken N.V. engages in brewing and selling beer and cider More
Heineken 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 Heineken'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 Heineken upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.48 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 7.42 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.86 |
Heineken Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Heineken's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Heineken's standard deviation. In reality, there are many statistical measures that can use Heineken historical prices to predict the future Heineken's volatility.| Risk Adjusted Performance | 0.007 | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Heineken's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Heineken Backtested Returns
We consider Heineken very steady. Heineken holds Efficiency (Sharpe) Ratio of 0.0029, which attests that the entity had a 0.0029% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Heineken, which you can use to evaluate the volatility of the firm. Please check out Heineken's Downside Deviation of 1.48, risk adjusted performance of 0.007, and Market Risk Adjusted Performance of 0.0029 to validate if the risk estimate we provide is consistent with the expected return of 0.0038%. The company retains a Market Volatility (i.e., Beta) of 0.88, which attests to possible diversification benefits within a given portfolio. Heineken returns are very sensitive to returns on the market. As the market goes up or down, Heineken is expected to follow. Heineken right now retains a risk of 1.28%. Please check out Heineken downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if Heineken will be following its current trending patterns.
Auto-correlation | -0.19 |
Insignificant reverse predictability
Heineken has insignificant reverse predictability. Overlapping area represents the amount of predictability between Heineken time series from 29th of September 2023 to 12th of January 2024 and 12th of January 2024 to 26th of April 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 Heineken price movement. The serial correlation of -0.19 indicates that over 19.0% of current Heineken price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.19 | |
| Spearman Rank Test | -0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 8.96 |
Heineken lagged returns against current returns
Autocorrelation, which is Heineken 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 Heineken's stock expected returns. We can calculate the autocorrelation of Heineken returns to help us make a trade decision. For example, suppose you find that Heineken 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 |
Heineken 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 Heineken stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Heineken stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Heineken stock over time.
Current vs Lagged Prices |
| Timeline |
Heineken Lagged Returns
When evaluating Heineken's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Heineken stock have on its future price. Heineken 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, Heineken autocorrelation shows the relationship between Heineken stock current value and its past values and can show if there is a momentum factor associated with investing in Heineken.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Heineken Correlation, Heineken Volatility and Heineken Alpha and Beta module to complement your research on Heineken. You can also try the Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
Complementary Tools for Heineken Stock analysis
When running Heineken's price analysis, check to measure Heineken'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 Heineken is operating at the current time. Most of Heineken's value examination focuses on studying past and present price action to predict the probability of Heineken's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Heineken's price. Additionally, you may evaluate how the addition of Heineken to your portfolios can decrease your overall portfolio volatility.
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Heineken 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.