MBank SA (Poland) Market Value
| MBK Stock | 566.20 6.20 1.11% |
| Symbol | MBank |
MBank SA '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 SA'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 SA.
| 07/24/2024 |
| 01/20/2025 |
If you would invest 0.00 in MBank SA on July 24, 2024 and sell it all today you would earn a total of 0.00 from holding mBank SA or generate 0.0% return on investment in MBank SA over 180 days. MBank SA is related to or competes with TEN SQUARE, Medicofarma Biotech, Gaming Factory, PMPG Polskie, True Games, and All In. More
MBank SA 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 SA'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 SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 11.01 | |||
| Value At Risk | (3.07) | |||
| Potential Upside | 3.4 |
MBank SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MBank SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MBank SA's standard deviation. In reality, there are many statistical measures that can use MBank SA historical prices to predict the future MBank SA's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.1) | |||
| Treynor Ratio | 0.1554 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of MBank SA'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 SA Backtested Returns
mBank SA has Sharpe Ratio of -0.0269, which conveys that the company had a -0.0269 % return per unit of risk over the last 3 months. MBank SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify MBank SA's Standard Deviation of 2.1, mean deviation of 1.59, and Coefficient Of Variation of (5,572) to check out the risk estimate we provide. The firm secures a Beta (Market Risk) of -0.31, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning MBank SA are expected to decrease at a much lower rate. During the bear market, MBank SA is likely to outperform the market. At this point, mBank SA has a negative expected return of -0.0561%. Please make sure to verify MBank SA's value at risk, and the relationship between the jensen alpha and accumulation distribution , to decide if mBank SA performance from the past will be repeated at some future point.
Auto-correlation | -0.53 |
Good reverse predictability
mBank SA has good reverse predictability. Overlapping area represents the amount of predictability between MBank SA time series from 24th of July 2024 to 22nd of October 2024 and 22nd of October 2024 to 20th of January 2025. 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 SA price movement. The serial correlation of -0.53 indicates that about 53.0% of current MBank SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.53 | |
| Spearman Rank Test | -0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 268.63 |
mBank SA lagged returns against current returns
Autocorrelation, which is MBank SA 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 SA's stock expected returns. We can calculate the autocorrelation of MBank SA returns to help us make a trade decision. For example, suppose you find that MBank SA 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 SA 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 SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MBank SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MBank SA stock over time.
Current vs Lagged Prices |
| Timeline |
MBank SA Lagged Returns
When evaluating MBank SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MBank SA stock have on its future price. MBank SA 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 SA autocorrelation shows the relationship between MBank SA stock current value and its past values and can show if there is a momentum factor associated with investing in mBank SA.
Regressed Prices |
| Timeline |
Pair Trading with MBank SA
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if MBank SA position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in MBank SA will appreciate offsetting losses from the drop in the long position's value.Moving together with MBank Stock
Moving against MBank Stock
The ability to find closely correlated positions to MBank SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace MBank SA when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back MBank SA - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling mBank SA to buy it.
The correlation of MBank SA is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as MBank SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if mBank SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for MBank SA can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for MBank Stock Analysis
When running MBank SA's price analysis, check to measure MBank SA'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 SA is operating at the current time. Most of MBank SA's value examination focuses on studying past and present price action to predict the probability of MBank SA'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 SA's price. Additionally, you may evaluate how the addition of MBank SA to your portfolios can decrease your overall portfolio volatility.