Koninklijke KPN (Netherlands) Market Value
| KPN Stock | EUR 3.38 0.01 0.30% |
| Symbol | Koninklijke |
Koninklijke KPN '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 KPN'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 Koninklijke KPN.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Koninklijke KPN on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Koninklijke KPN NV or generate 0.0% return on investment in Koninklijke KPN over 30 days. Koninklijke KPN is related to or competes with Aegon NV, Koninklijke Philips, Randstad, and Akzo Nobel. Koninklijke KPN N.V. provides telecommunications and information technology services in the Netherlands More
Koninklijke KPN 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 KPN'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 Koninklijke KPN NV upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7962 | |||
| Information Ratio | 0.0445 | |||
| Maximum Drawdown | 4.94 | |||
| Value At Risk | (1.16) | |||
| Potential Upside | 1.25 |
Koninklijke KPN Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Koninklijke KPN's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Koninklijke KPN's standard deviation. In reality, there are many statistical measures that can use Koninklijke KPN historical prices to predict the future Koninklijke KPN's volatility.| Risk Adjusted Performance | 0.0812 | |||
| Jensen Alpha | 0.0837 | |||
| Total Risk Alpha | 0.0169 | |||
| Sortino Ratio | 0.0462 | |||
| Treynor Ratio | 0.4798 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Koninklijke KPN'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.
Koninklijke KPN NV Backtested Returns
We consider Koninklijke KPN somewhat reliable. Koninklijke KPN NV has Sharpe Ratio of 0.11, which conveys that the firm had a 0.11% return per unit of risk over the last 3 months. We have found thirty technical indicators for Koninklijke KPN, which you can use to evaluate the volatility of the firm. Please verify Koninklijke KPN's Risk Adjusted Performance of 0.0812, mean deviation of 0.6352, and Downside Deviation of 0.7962 to check out if the risk estimate we provide is consistent with the expected return of 0.0953%. Koninklijke KPN has a performance score of 8 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.2, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Koninklijke KPN's returns are expected to increase less than the market. However, during the bear market, the loss of holding Koninklijke KPN is expected to be smaller as well. Koninklijke KPN NV right now secures a risk of 0.84%. Please verify Koninklijke KPN NV jensen alpha, sortino ratio, maximum drawdown, as well as the relationship between the total risk alpha and treynor ratio , to decide if Koninklijke KPN NV will be following its current price movements.
Auto-correlation | -0.54 |
Good reverse predictability
Koninklijke KPN NV has good reverse predictability. Overlapping area represents the amount of predictability between Koninklijke KPN time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Koninklijke KPN NV price movement. The serial correlation of -0.54 indicates that about 54.0% of current Koninklijke KPN price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.9 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Koninklijke KPN NV lagged returns against current returns
Autocorrelation, which is Koninklijke KPN 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 KPN's stock expected returns. We can calculate the autocorrelation of Koninklijke KPN returns to help us make a trade decision. For example, suppose you find that Koninklijke KPN 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 |
Koninklijke KPN 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 KPN stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Koninklijke KPN stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Koninklijke KPN stock over time.
Current vs Lagged Prices |
| Timeline |
Koninklijke KPN Lagged Returns
When evaluating Koninklijke KPN's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Koninklijke KPN stock have on its future price. Koninklijke KPN 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 KPN autocorrelation shows the relationship between Koninklijke KPN stock current value and its past values and can show if there is a momentum factor associated with investing in Koninklijke KPN NV.
Regressed Prices |
| Timeline |
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Complementary Tools for Koninklijke Stock analysis
When running Koninklijke KPN's price analysis, check to measure Koninklijke KPN'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 Koninklijke KPN is operating at the current time. Most of Koninklijke KPN's value examination focuses on studying past and present price action to predict the probability of Koninklijke KPN's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Koninklijke KPN's price. Additionally, you may evaluate how the addition of Koninklijke KPN to your portfolios can decrease your overall portfolio volatility.
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