DMCI Holdings (Philippines) Market Value
| DMC Stock | 10.52 0.02 0.19% |
| Symbol | DMCI |
DMCI Holdings '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 DMCI Holdings' 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 DMCI Holdings.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in DMCI Holdings on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding DMCI Holdings or generate 0.0% return on investment in DMCI Holdings over 30 days. DMCI Holdings is related to or competes with SM Investments, Ayala Corp, and Alliance Global. More
DMCI Holdings 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 DMCI Holdings' 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 DMCI Holdings upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 10.25 | |||
| Value At Risk | (1.96) | |||
| Potential Upside | 2.83 |
DMCI Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for DMCI Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as DMCI Holdings' standard deviation. In reality, there are many statistical measures that can use DMCI Holdings historical prices to predict the future DMCI Holdings' volatility.| Risk Adjusted Performance | 0.005 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.27) | |||
| Treynor Ratio | (0.05) |
DMCI Holdings Backtested Returns
DMCI Holdings retains Efficiency (Sharpe Ratio) of -0.0336, which denotes the company had a -0.0336% return per unit of risk over the last 3 months. DMCI Holdings exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm DMCI Holdings' Variance of 2.76, standard deviation of 1.66, and Market Risk Adjusted Performance of (0.04) to check the risk estimate we provide. The firm owns a Beta (Systematic Risk) of 0.21, which means not very significant fluctuations relative to the market. As returns on the market increase, DMCI Holdings' returns are expected to increase less than the market. However, during the bear market, the loss of holding DMCI Holdings is expected to be smaller as well. At this point, DMCI Holdings has a negative expected return of -0.056%. Please make sure to confirm DMCI Holdings' coefficient of variation, treynor ratio, skewness, as well as the relationship between the jensen alpha and value at risk , to decide if DMCI Holdings performance from the past will be repeated in the future.
Auto-correlation | -0.11 |
Insignificant reverse predictability
DMCI Holdings has insignificant reverse predictability. Overlapping area represents the amount of predictability between DMCI Holdings time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th of November 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 DMCI Holdings price movement. The serial correlation of -0.11 indicates that less than 11.0% of current DMCI Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | -0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
DMCI Holdings lagged returns against current returns
Autocorrelation, which is DMCI Holdings 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 DMCI Holdings' stock expected returns. We can calculate the autocorrelation of DMCI Holdings returns to help us make a trade decision. For example, suppose you find that DMCI Holdings 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 |
DMCI Holdings 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 DMCI Holdings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if DMCI Holdings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in DMCI Holdings stock over time.
Current vs Lagged Prices |
| Timeline |
DMCI Holdings Lagged Returns
When evaluating DMCI Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of DMCI Holdings stock have on its future price. DMCI Holdings 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, DMCI Holdings autocorrelation shows the relationship between DMCI Holdings stock current value and its past values and can show if there is a momentum factor associated with investing in DMCI Holdings.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in DMCI Stock
DMCI Holdings financial ratios help investors to determine whether DMCI Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in DMCI with respect to the benefits of owning DMCI Holdings security.