NESTLE SA Backtesting

NSRGF -- USA Stock  

USD 104.61  1.50  1.41%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NESTLE SA and determine expected loss or profit from investing in NESTLE SA over given investment horizon. Please see also NESTLE SA Hype Analysis, NESTLE SA Correlation, NESTLE SA Valuation, NESTLE SA Volatility as well as analyze NESTLE SA Alpha and Beta and NESTLE SA Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

NESTLE SA 'What if' Analysis

September 17, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 16, 2019
0.00
If you would invest  0.00  in NESTLE SA on September 17, 2019 and sell it all today you would earn a total of 0.00 from holding NESTLE SA or generate 0.0% return on investment in NESTLE SA over 90 days. NESTLE SA is related to or competes with ASSOCIATED BRITISH, KERRY GROUP, Kikkoman Corp, Tingyi Cayman, Pt Indofood, TATE LYLE, and Toyo Suisan. Nestl S.A., together with its subsidiaries, operates as a food and beverage company

NESTLE SA Upside/Downside Indicators

Information Ratio(0.06)
Maximum Drawdown6.44
Value At Risk(2.60)
Potential Upside2.05

NESTLE SA Market Premium Indicators

Risk Adjusted Performance(0.00739)
Jensen Alpha(0.041816)
Total Risk Alpha(0.14)
Treynor Ratio(0.49)

NESTLE SA Backtested Returns

Macroaxis considers NESTLE SA to be very steady. NESTLE SA has Sharpe Ratio of -0.0245 which conveys that the firm had -0.0245% of return per unit of standard deviation over the last 3 months. Macroaxis approach into estimating risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. NESTLE SA exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify NESTLE SA Risk Adjusted Performance of (0.00739), Market Risk Adjusted Performance of (0.48) and Mean Deviation of 0.9814 to check out risk estimate we provide. The company secures Beta (Market Risk) of 0.0779 which conveys that as returns on market increase, NESTLE SA returns are expected to increase less than the market. However during bear market, the loss on holding NESTLE SA will be expected to be smaller as well. Even though it is essential to pay attention to NESTLE SA price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis approach into estimating future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. NESTLE SA exposes twenty-one different technical indicators which can help you to evaluate its performance. NESTLE SA has expected return of -0.0309%. Please be advised to verify NESTLE SA Information Ratio, Value At Risk as well as the relationship between Value At Risk and Expected Short fall to decide if NESTLE SA past performance will be repeated at future time.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.13 
correlation synergy

Insignificant predictability

NESTLE SA has insignificant predictability. Overlapping area represents the amount of predictability between NESTLE SA time series from September 17, 2019 to November 1, 2019 and November 1, 2019 to December 16, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of NESTLE SA price movement. The serial correlation of 0.13 indicates that less than 13.0% of current NESTLE SA price fluctuation can be explain by its past prices.
Correlation Coefficient0.13
Spearman Rank Test0.55
Residual Average0.0
Price Variance0.99

NESTLE SA lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NESTLE SA regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NESTLE SA Lagged Returns

 Regressed Prices 
      Timeline 

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Please see also NESTLE SA Hype Analysis, NESTLE SA Correlation, NESTLE SA Valuation, NESTLE SA Volatility as well as analyze NESTLE SA Alpha and Beta and NESTLE SA Performance. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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