MCI Management (Poland) Market Value
| MCI Stock | 25.10 0.10 0.40% |
| Symbol | MCI |
MCI Management '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 MCI Management'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 MCI Management.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in MCI Management on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding MCI Management SA or generate 0.0% return on investment in MCI Management over 720 days. MCI Management is related to or competes with Immobile, Altustfi, and Alta SA. More
MCI Management 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 MCI Management'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 MCI Management SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.33 | |||
| Information Ratio | 0.0052 | |||
| Maximum Drawdown | 11.16 | |||
| Value At Risk | (2.15) | |||
| Potential Upside | 2.2 |
MCI Management Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MCI Management's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MCI Management's standard deviation. In reality, there are many statistical measures that can use MCI Management historical prices to predict the future MCI Management's volatility.| Risk Adjusted Performance | 0.0628 | |||
| Jensen Alpha | 0.1063 | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | 0.0061 | |||
| Treynor Ratio | 8.21 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of MCI Management'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.
MCI Management SA Backtested Returns
Currently, MCI Management SA is very steady. MCI Management SA has Sharpe Ratio of 0.0782, which conveys that the company had a 0.0782% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for MCI Management, which you can use to evaluate the volatility of the entity. Please verify MCI Management's Mean Deviation of 1.01, downside deviation of 1.33, and Market Risk Adjusted Performance of 8.22 to check out if the risk estimate we provide is consistent with the expected return of 0.12%. MCI Management has a performance score of 6 on a scale of 0 to 100. The firm secures a Beta (Market Risk) of 0.0131, which conveys not very significant fluctuations relative to the market. As returns on the market increase, MCI Management's returns are expected to increase less than the market. However, during the bear market, the loss of holding MCI Management is expected to be smaller as well. MCI Management SA now secures a risk of 1.58%. Please verify MCI Management SA total risk alpha, expected short fall, market facilitation index, as well as the relationship between the value at risk and daily balance of power , to decide if MCI Management SA will be following its current price movements.
Auto-correlation | 0.24 |
Weak predictability
MCI Management SA has weak predictability. Overlapping area represents the amount of predictability between MCI Management time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 MCI Management SA price movement. The serial correlation of 0.24 indicates that over 24.0% of current MCI Management price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 2.85 |
MCI Management SA lagged returns against current returns
Autocorrelation, which is MCI Management 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 MCI Management's stock expected returns. We can calculate the autocorrelation of MCI Management returns to help us make a trade decision. For example, suppose you find that MCI Management 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 |
MCI Management 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 MCI Management stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MCI Management stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MCI Management stock over time.
Current vs Lagged Prices |
| Timeline |
MCI Management Lagged Returns
When evaluating MCI Management's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MCI Management stock have on its future price. MCI Management 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, MCI Management autocorrelation shows the relationship between MCI Management stock current value and its past values and can show if there is a momentum factor associated with investing in MCI Management SA.
Regressed Prices |
| Timeline |
Pair Trading with MCI Management
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 MCI Management 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 MCI Management will appreciate offsetting losses from the drop in the long position's value.Moving against MCI Stock
| 0.77 | SPL | Santander Bank Polska | PairCorr |
| 0.71 | BHW | Bank Handlowy w | PairCorr |
| 0.55 | AAT | Alta SA | PairCorr |
| 0.5 | GKI | Immobile | PairCorr |
| 0.4 | ALI | Altustfi | PairCorr |
The ability to find closely correlated positions to MCI Management could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace MCI Management 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 MCI Management - 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 MCI Management SA to buy it.
The correlation of MCI Management 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 MCI Management moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if MCI Management 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 MCI Management 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 MCI Stock Analysis
When running MCI Management's price analysis, check to measure MCI Management'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 MCI Management is operating at the current time. Most of MCI Management's value examination focuses on studying past and present price action to predict the probability of MCI Management's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move MCI Management's price. Additionally, you may evaluate how the addition of MCI Management to your portfolios can decrease your overall portfolio volatility.