NESTLE SA Risk Analysis And Volatility

NSRGF -- USA Stock  

USD 103.57  0.40  0.39%

Macroaxis considers NESTLE SA to be very steady. NESTLE SA has Sharpe Ratio of -0.1067 which conveys that the firm had -0.1067% 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 Market Risk Adjusted Performance of (2.26), Mean Deviation of 1.08 and Risk Adjusted Performance of (0.045503) to check out risk estimate we provide.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

90 Days Economic Sensitivity

Barely shadows market
Horizon     30 Days    Login   to change

NESTLE SA Market Sensitivity

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.
3 Months Beta |Analyze NESTLE SA Demand Trend
Check current 30 days NESTLE SA correlation with market (DOW)
β = 0.0588

NESTLE SA Central Daily Price Deviation

NESTLE SA Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. NESTLE SA Typical Price indicator is an average of each day price and can be used instead of closing price when creating different NESTLE SA moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

NESTLE SA Projected Return Density Against Market

Assuming 30 trading days horizon, NESTLE SA has beta of 0.0588 indicating as returns on market go up, NESTLE SA average returns are expected to increase less than the benchmark. However during bear market, the loss on holding NESTLE SA will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. NESTLE SA is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of NESTLE SA is -936.92. The daily returns are destributed with a variance of 2.14 and standard deviation of 1.46. The mean deviation of NESTLE SA is currently at 1.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.14
β
Beta against DOW=0.06
σ
Overall volatility
=1.46
Ir
Information ratio =0.14

NESTLE SA Return Volatility

the firm shows 1.4628% volatility of returns over 30 trading days. the entity inherits 0.5954% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

NESTLE SA Investment Opportunity

NESTLE SA has a volatility of 1.46 and is 2.43 times more volatile than DOW. 13  of all equities and portfolios are less risky than NESTLE SA. Compared to the overall equity markets, volatility of historical daily returns of NESTLE SA is lower than 13 () of all global equities and portfolios over the last 30 days. Use NESTLE SA to enhance returns of your portfolios. The otc stock experiences normal upward fluctuation. Check odds of NESTLE SA to be traded at $108.75 in 30 days. . 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.

NESTLE SA correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding NESTLE SA and equity matching DJI index in the same portfolio.

NESTLE SA Current Risk Indicators

NESTLE SA Suggested Diversification Pairs

Please see also Stocks Correlation. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
Search macroaxis.com