Heineken (Netherlands) Market Value
| HEIA Stock | EUR 90.38 0.82 0.92% |
| 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.
| 04/07/2024 |
| 05/07/2024 |
If you would invest 0.00 in Heineken on April 7, 2024 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 30 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.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 7.42 | |||
| Value At Risk | (1.45) | |||
| 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) | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.16) | |||
| Treynor Ratio | (0.10) |
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
Heineken holds Efficiency (Sharpe) Ratio of -0.0371, which attests that the entity had a -0.0371% return per unit of risk over the last 3 months. Heineken exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Heineken's Risk Adjusted Performance of (0), market risk adjusted performance of (0.09), and Standard Deviation of 1.27 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.27, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Heineken's returns are expected to increase less than the market. However, during the bear market, the loss of holding Heineken is expected to be smaller as well. Heineken has an expected return of -0.0483%. Please make sure to check out Heineken standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Heineken performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.35 |
Poor reverse predictability
Heineken has poor reverse predictability. Overlapping area represents the amount of predictability between Heineken time series from 7th of April 2024 to 22nd of April 2024 and 22nd of April 2024 to 7th of May 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 -0.35 indicates that nearly 35.0% of current Heineken price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | -0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 0.47 |
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 |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Heineken in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Heineken's short interest history, or implied volatility extrapolated from Heineken options trading.
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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.