Grupo Mateus (Brazil) Market Value
| GMAT3 Stock | BRL 7.20 0.05 0.69% |
| Symbol | Grupo |
Grupo Mateus '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 Grupo Mateus' 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 Grupo Mateus.
| 05/30/2024 |
| 11/26/2024 |
If you would invest 0.00 in Grupo Mateus on May 30, 2024 and sell it all today you would earn a total of 0.00 from holding Grupo Mateus SA or generate 0.0% return on investment in Grupo Mateus over 180 days. Grupo Mateus is related to or competes with Pet Center, Natura Co, Rede DOr, and Lojas Quero. The company offers grocery items, electronic appliances, medicines, and services More
Grupo Mateus 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 Grupo Mateus' 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 Grupo Mateus SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 8.29 | |||
| Value At Risk | (2.77) | |||
| Potential Upside | 2.75 |
Grupo Mateus Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grupo Mateus' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grupo Mateus' standard deviation. In reality, there are many statistical measures that can use Grupo Mateus historical prices to predict the future Grupo Mateus' volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.39) | |||
| Treynor Ratio | (0.53) |
Grupo Mateus SA Backtested Returns
Grupo Mateus SA holds Efficiency (Sharpe) Ratio of -0.0773, which attests that the entity had a -0.0773% return per unit of risk over the last 3 months. Grupo Mateus SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Grupo Mateus' Standard Deviation of 1.78, risk adjusted performance of (0.04), and Market Risk Adjusted Performance of (0.52) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.21, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Grupo Mateus' returns are expected to increase less than the market. However, during the bear market, the loss of holding Grupo Mateus is expected to be smaller as well. At this point, Grupo Mateus SA has a negative expected return of -0.14%. Please make sure to check out Grupo Mateus' skewness, accumulation distribution, and the relationship between the potential upside and kurtosis , to decide if Grupo Mateus SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.21 |
Weak predictability
Grupo Mateus SA has weak predictability. Overlapping area represents the amount of predictability between Grupo Mateus time series from 30th of May 2024 to 28th of August 2024 and 28th of August 2024 to 26th 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 Grupo Mateus SA price movement. The serial correlation of 0.21 indicates that over 21.0% of current Grupo Mateus price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | -0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Grupo Mateus SA lagged returns against current returns
Autocorrelation, which is Grupo Mateus 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 Grupo Mateus' stock expected returns. We can calculate the autocorrelation of Grupo Mateus returns to help us make a trade decision. For example, suppose you find that Grupo Mateus 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 |
Grupo Mateus 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 Grupo Mateus stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grupo Mateus stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grupo Mateus stock over time.
Current vs Lagged Prices |
| Timeline |
Grupo Mateus Lagged Returns
When evaluating Grupo Mateus' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grupo Mateus stock have on its future price. Grupo Mateus 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, Grupo Mateus autocorrelation shows the relationship between Grupo Mateus stock current value and its past values and can show if there is a momentum factor associated with investing in Grupo Mateus SA.
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.Additional Tools for Grupo Stock Analysis
When running Grupo Mateus' price analysis, check to measure Grupo Mateus' 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 Grupo Mateus is operating at the current time. Most of Grupo Mateus' value examination focuses on studying past and present price action to predict the probability of Grupo Mateus' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Grupo Mateus' price. Additionally, you may evaluate how the addition of Grupo Mateus to your portfolios can decrease your overall portfolio volatility.