Mitsubishi UFJ (Germany) Market Value
| MFZA Stock | 10.90 0.10 0.91% |
| Symbol | Mitsubishi |
Mitsubishi UFJ '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 Mitsubishi UFJ'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 Mitsubishi UFJ.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Mitsubishi UFJ on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Mitsubishi UFJ Financial or generate 0.0% return on investment in Mitsubishi UFJ over 30 days. Mitsubishi UFJ is related to or competes with JPMorgan Chase, and Citigroup. More
Mitsubishi UFJ 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 Mitsubishi UFJ'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 Mitsubishi UFJ Financial upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.9 | |||
| Information Ratio | 0.0971 | |||
| Maximum Drawdown | 6.98 | |||
| Value At Risk | (2.60) | |||
| Potential Upside | 3.19 |
Mitsubishi UFJ Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mitsubishi UFJ's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mitsubishi UFJ's standard deviation. In reality, there are many statistical measures that can use Mitsubishi UFJ historical prices to predict the future Mitsubishi UFJ's volatility.| Risk Adjusted Performance | 0.1346 | |||
| Jensen Alpha | 0.2489 | |||
| Total Risk Alpha | 0.014 | |||
| Sortino Ratio | 0.0923 | |||
| Treynor Ratio | 0.7781 |
Mitsubishi UFJ Financial Backtested Returns
Mitsubishi UFJ appears to be not too volatile, given 3 months investment horizon. Mitsubishi UFJ Financial has Sharpe Ratio of 0.16, which conveys that the firm had a 0.16% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Mitsubishi UFJ, which you can use to evaluate the volatility of the firm. Please exercise Mitsubishi UFJ's Risk Adjusted Performance of 0.1346, mean deviation of 1.44, and Downside Deviation of 1.9 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Mitsubishi UFJ holds a performance score of 12. The company secures a Beta (Market Risk) of 0.38, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Mitsubishi UFJ's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mitsubishi UFJ is expected to be smaller as well. Please check Mitsubishi UFJ's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to make a quick decision on whether Mitsubishi UFJ's current price movements will revert.
Auto-correlation | 0.58 |
Modest predictability
Mitsubishi UFJ Financial has modest predictability. Overlapping area represents the amount of predictability between Mitsubishi UFJ time series from 27th of October 2024 to 11th of November 2024 and 11th of November 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 Mitsubishi UFJ Financial price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Mitsubishi UFJ price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Mitsubishi UFJ Financial lagged returns against current returns
Autocorrelation, which is Mitsubishi UFJ 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 Mitsubishi UFJ's stock expected returns. We can calculate the autocorrelation of Mitsubishi UFJ returns to help us make a trade decision. For example, suppose you find that Mitsubishi UFJ 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 |
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Mitsubishi UFJ 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 Mitsubishi UFJ stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mitsubishi UFJ stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mitsubishi UFJ stock over time.
Current vs Lagged Prices |
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Mitsubishi UFJ Lagged Returns
When evaluating Mitsubishi UFJ's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mitsubishi UFJ stock have on its future price. Mitsubishi UFJ 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, Mitsubishi UFJ autocorrelation shows the relationship between Mitsubishi UFJ stock current value and its past values and can show if there is a momentum factor associated with investing in Mitsubishi UFJ Financial.
Regressed Prices |
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Thematic Opportunities
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Additional Tools for Mitsubishi Stock Analysis
When running Mitsubishi UFJ's price analysis, check to measure Mitsubishi UFJ'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 Mitsubishi UFJ is operating at the current time. Most of Mitsubishi UFJ's value examination focuses on studying past and present price action to predict the probability of Mitsubishi UFJ's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Mitsubishi UFJ's price. Additionally, you may evaluate how the addition of Mitsubishi UFJ to your portfolios can decrease your overall portfolio volatility.