MCB Investment (Pakistan) Market Value
| MCBIM Stock | 51.09 4.15 8.84% |
| Symbol | MCB |
MCB Investment '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 Investment'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 Investment.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in MCB Investment on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding MCB Investment Manag or generate 0.0% return on investment in MCB Investment over 30 days.
MCB Investment 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 Investment'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 Investment Manag upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.44 | |||
| Information Ratio | 0.1127 | |||
| Maximum Drawdown | 11.35 | |||
| Value At Risk | (3.29) | |||
| Potential Upside | 4.46 |
MCB Investment Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MCB Investment's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MCB Investment's standard deviation. In reality, there are many statistical measures that can use MCB Investment historical prices to predict the future MCB Investment's volatility.| Risk Adjusted Performance | 0.1319 | |||
| Jensen Alpha | 0.3416 | |||
| Total Risk Alpha | 0.0108 | |||
| Sortino Ratio | 0.1171 | |||
| Treynor Ratio | 0.7676 |
MCB Investment Manag Backtested Returns
MCB Investment appears to be very steady, given 3 months investment horizon. MCB Investment Manag retains Efficiency (Sharpe Ratio) of 0.21, which conveys that the company had a 0.21% return per unit of return volatility over the last 3 months. By inspecting MCB Investment's technical indicators, you can evaluate if the expected return of 0.58% is justified by implied risk. Please exercise MCB Investment's Downside Deviation of 2.44, mean deviation of 1.72, and Market Risk Adjusted Performance of 0.7776 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, MCB Investment holds a performance score of 16. The firm owns a Beta (Systematic Risk) of 0.53, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, MCB Investment's returns are expected to increase less than the market. However, during the bear market, the loss of holding MCB Investment is expected to be smaller as well. Please check MCB Investment's potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to make a quick decision on whether MCB Investment's current price history will revert.
Auto-correlation | 0.28 |
Poor predictability
MCB Investment Manag has poor predictability. Overlapping area represents the amount of predictability between MCB Investment 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 Investment Manag price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current MCB Investment price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.28 | |
| Spearman Rank Test | 0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 9.37 |
MCB Investment Manag lagged returns against current returns
Autocorrelation, which is MCB Investment 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 Investment's stock expected returns. We can calculate the autocorrelation of MCB Investment returns to help us make a trade decision. For example, suppose you find that MCB Investment 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 Investment 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 Investment stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MCB Investment stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MCB Investment stock over time.
Current vs Lagged Prices |
| Timeline |
MCB Investment Lagged Returns
When evaluating MCB Investment's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MCB Investment stock have on its future price. MCB Investment 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 Investment autocorrelation shows the relationship between MCB Investment stock current value and its past values and can show if there is a momentum factor associated with investing in MCB Investment Manag.
Regressed Prices |
| Timeline |
Pair Trading with MCB Investment
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 Investment 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 Investment will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to MCB Investment 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 Investment 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 Investment - 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 Investment Manag to buy it.
The correlation of MCB Investment 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 Investment moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if MCB Investment Manag 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 Investment 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.