MCB Bank (Pakistan) Market Value
| MCB Stock | 266.76 0.87 0.33% |
| Symbol | MCB |
MCB Bank '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 MCB Bank'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 MCB Bank.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in MCB Bank on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding MCB Bank or generate 0.0% return on investment in MCB Bank over 30 days. MCB Bank is related to or competes with National Bank, Meezan Bank, and Habib Metropolitan. More
MCB Bank 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 MCB Bank'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 MCB Bank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.4 | |||
| Information Ratio | 0.1444 | |||
| Maximum Drawdown | 8.86 | |||
| Value At Risk | (2.26) | |||
| Potential Upside | 3.8 |
MCB Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MCB Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MCB Bank's standard deviation. In reality, there are many statistical measures that can use MCB Bank historical prices to predict the future MCB Bank's volatility.| Risk Adjusted Performance | 0.1719 | |||
| Jensen Alpha | 0.3319 | |||
| Total Risk Alpha | 0.0996 | |||
| Sortino Ratio | 0.1811 | |||
| Treynor Ratio | 1.08 |
MCB Bank Backtested Returns
MCB Bank appears to be very steady, given 3 months investment horizon. MCB Bank retains Efficiency (Sharpe Ratio) of 0.24, which conveys that the company had a 0.24% return per unit of return volatility over the last 3 months. We have found twenty-eight technical indicators for MCB Bank, which you can use to evaluate the volatility of the entity. Please exercise MCB Bank's Mean Deviation of 1.23, downside deviation of 1.4, and Market Risk Adjusted Performance of 1.09 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, MCB Bank holds a performance score of 18. The firm owns a Beta (Systematic Risk) of 0.35, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, MCB Bank's returns are expected to increase less than the market. However, during the bear market, the loss of holding MCB Bank is expected to be smaller as well. Please check MCB Bank's jensen alpha, maximum drawdown, and the relationship between the coefficient of variation and sortino ratio , to make a quick decision on whether MCB Bank's current price history will revert.
Auto-correlation | -0.44 |
Modest reverse predictability
MCB Bank has modest reverse predictability. Overlapping area represents the amount of predictability between MCB Bank 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 MCB Bank price movement. The serial correlation of -0.44 indicates that just about 44.0% of current MCB Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.44 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 75.35 |
MCB Bank lagged returns against current returns
Autocorrelation, which is MCB Bank 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 MCB Bank's stock expected returns. We can calculate the autocorrelation of MCB Bank returns to help us make a trade decision. For example, suppose you find that MCB Bank 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 |
MCB Bank 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 MCB Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MCB Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MCB Bank stock over time.
Current vs Lagged Prices |
| Timeline |
MCB Bank Lagged Returns
When evaluating MCB Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MCB Bank stock have on its future price. MCB Bank 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, MCB Bank autocorrelation shows the relationship between MCB Bank stock current value and its past values and can show if there is a momentum factor associated with investing in MCB Bank.
Regressed Prices |
| Timeline |
Pair Trading with MCB Bank
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 MCB Bank 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 MCB Bank will appreciate offsetting losses from the drop in the long position's value.Moving together with MCB Stock
| 0.64 | NBP | National Bank | PairCorr |
| 0.95 | UBL | United Bank | PairCorr |
| 0.92 | BAFL | Bank Alfalah | PairCorr |
| 0.78 | ABL | Allied Bank | PairCorr |
| 0.69 | MEBL | Meezan Bank | PairCorr |
The ability to find closely correlated positions to MCB Bank could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace MCB Bank 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 MCB Bank - 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 MCB Bank to buy it.
The correlation of MCB Bank 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 MCB Bank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if MCB Bank 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 MCB Bank 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 MCB Stock Analysis
When running MCB Bank's price analysis, check to measure MCB Bank'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 MCB Bank is operating at the current time. Most of MCB Bank's value examination focuses on studying past and present price action to predict the probability of MCB Bank's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move MCB Bank's price. Additionally, you may evaluate how the addition of MCB Bank to your portfolios can decrease your overall portfolio volatility.