Northern Trust High Index Market Value
| NTUHCB Index | 917.13 0.25 0.03% |
| Symbol | Northern |
Northern Trust '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 Northern Trust's index 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 Northern Trust.
| 11/17/2024 |
| 12/17/2024 |
If you would invest 0.00 in Northern Trust on November 17, 2024 and sell it all today you would earn a total of 0.00 from holding Northern Trust High or generate 0.0% return on investment in Northern Trust over 30 days.
Northern Trust 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 Northern Trust's index 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 Northern Trust High upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1325 | |||
| Information Ratio | (0.59) | |||
| Maximum Drawdown | 0.6226 | |||
| Value At Risk | (0.23) | |||
| Potential Upside | 0.2565 |
Northern Trust Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Northern Trust's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Northern Trust's standard deviation. In reality, there are many statistical measures that can use Northern Trust historical prices to predict the future Northern Trust's volatility.| Risk Adjusted Performance | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.60) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Northern Trust'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.
Northern Trust High Backtested Returns
Northern Trust High has Sharpe Ratio of -0.0483, which conveys that the entity had a -0.0483% return per unit of risk over the last 3 months. Northern Trust exposes twenty-six different technical indicators, which can help you to evaluate volatility embedded in its price movement. The index secures a Beta (Market Risk) of 0.0, which conveys not very significant fluctuations relative to the market. the returns on MARKET and Northern Trust are completely uncorrelated.
Auto-correlation | -0.27 |
Weak reverse predictability
Northern Trust High has weak reverse predictability. Overlapping area represents the amount of predictability between Northern Trust time series from 17th of November 2024 to 2nd of December 2024 and 2nd of December 2024 to 17th of December 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 Northern Trust High price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current Northern Trust price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 1.25 |
Northern Trust High lagged returns against current returns
Autocorrelation, which is Northern Trust index'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 Northern Trust's index expected returns. We can calculate the autocorrelation of Northern Trust returns to help us make a trade decision. For example, suppose you find that Northern Trust has exhibited high autocorrelation historically, and you observe that the index 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 |
Northern Trust 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 Northern Trust index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Northern Trust index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Northern Trust index over time.
Current vs Lagged Prices |
| Timeline |
Northern Trust Lagged Returns
When evaluating Northern Trust's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Northern Trust index have on its future price. Northern Trust 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, Northern Trust autocorrelation shows the relationship between Northern Trust index current value and its past values and can show if there is a momentum factor associated with investing in Northern Trust High.
Regressed Prices |
| Timeline |