MBANK (Germany) Market Value
| BRU Stock | 125.20 0.80 0.63% |
| Symbol | MBANK |
MBANK '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 MBANK'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 MBANK.
| 12/19/2023 |
| 12/13/2024 |
MBANK 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 MBANK'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 MBANK upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 13.84 | |||
| Value At Risk | (2.87) | |||
| Potential Upside | 3.56 |
MBANK Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MBANK's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MBANK's standard deviation. In reality, there are many statistical measures that can use MBANK historical prices to predict the future MBANK's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.42) | |||
| Treynor Ratio | (0.16) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of MBANK'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.
MBANK Backtested Returns
MBANK retains Efficiency (Sharpe Ratio) of -0.0791, which conveys that the company had a -0.0791% return per unit of return volatility over the last 3 months. MBANK exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify MBANK's Market Risk Adjusted Performance of (0.15), mean deviation of 1.83, and Standard Deviation of 2.39 to check out the risk estimate we provide. The firm owns a Beta (Systematic Risk) of 0.55, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, MBANK's returns are expected to increase less than the market. However, during the bear market, the loss of holding MBANK is expected to be smaller as well. At this point, MBANK has a negative expected return of -0.17%. Please make sure to verify MBANK's standard deviation, kurtosis, period momentum indicator, as well as the relationship between the maximum drawdown and day median price , to decide if MBANK performance from the past will be repeated in the future.
Auto-correlation | 0.02 |
Virtually no predictability
MBANK has virtually no predictability. Overlapping area represents the amount of predictability between MBANK time series from 19th of December 2023 to 16th of June 2024 and 16th of June 2024 to 13th 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 MBANK price movement. The serial correlation of 0.02 indicates that only 2.0% of current MBANK price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.02 | |
| Spearman Rank Test | -0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 62.19 |
MBANK lagged returns against current returns
Autocorrelation, which is MBANK 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 MBANK's stock expected returns. We can calculate the autocorrelation of MBANK returns to help us make a trade decision. For example, suppose you find that MBANK 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 |
MBANK 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 MBANK stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MBANK stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MBANK stock over time.
Current vs Lagged Prices |
| Timeline |
MBANK Lagged Returns
When evaluating MBANK's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MBANK stock have on its future price. MBANK 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, MBANK autocorrelation shows the relationship between MBANK stock current value and its past values and can show if there is a momentum factor associated with investing in MBANK.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for MBANK Stock Analysis
When running MBANK's price analysis, check to measure MBANK'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 MBANK is operating at the current time. Most of MBANK's value examination focuses on studying past and present price action to predict the probability of MBANK's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move MBANK's price. Additionally, you may evaluate how the addition of MBANK to your portfolios can decrease your overall portfolio volatility.