Morgan Sindall (UK) Market Value
| MGNS Stock | 3,805 5.00 0.13% |
| Symbol | Morgan |
Morgan Sindall '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 Morgan Sindall'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 Morgan Sindall.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Morgan Sindall on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Morgan Sindall Group or generate 0.0% return on investment in Morgan Sindall over 30 days. Morgan Sindall is related to or competes with L3Harris Technologies, Verizon Communications, TechnipFMC PLC, Cairo Communication, Schweiter Technologies, Ashtead Technology, and Zoom Video. Morgan Sindall is entity of United Kingdom More
Morgan Sindall 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 Morgan Sindall'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 Morgan Sindall Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.08 | |||
| Information Ratio | 0.1045 | |||
| Maximum Drawdown | 22.91 | |||
| Value At Risk | (1.83) | |||
| Potential Upside | 2.2 |
Morgan Sindall Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Morgan Sindall's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Morgan Sindall's standard deviation. In reality, there are many statistical measures that can use Morgan Sindall historical prices to predict the future Morgan Sindall's volatility.| Risk Adjusted Performance | 0.1261 | |||
| Jensen Alpha | 0.4703 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.26 | |||
| Treynor Ratio | (0.85) |
Morgan Sindall Group Backtested Returns
Morgan Sindall appears to be very steady, given 3 months investment horizon. Morgan Sindall Group has Sharpe Ratio of 0.17, which conveys that the firm had a 0.17% return per unit of risk over the last 3 months. We have found thirty technical indicators for Morgan Sindall, which you can use to evaluate the volatility of the firm. Please exercise Morgan Sindall's Mean Deviation of 1.2, risk adjusted performance of 0.1261, and Downside Deviation of 1.08 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Morgan Sindall holds a performance score of 13. The company secures a Beta (Market Risk) of -0.48, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Morgan Sindall are expected to decrease at a much lower rate. During the bear market, Morgan Sindall is likely to outperform the market. Please check Morgan Sindall's treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether Morgan Sindall's current price movements will revert.
Auto-correlation | -0.76 |
Almost perfect reverse predictability
Morgan Sindall Group has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Morgan Sindall time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st of December 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 Morgan Sindall Group price movement. The serial correlation of -0.76 indicates that around 76.0% of current Morgan Sindall price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.76 | |
| Spearman Rank Test | -0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 317.36 |
Morgan Sindall Group lagged returns against current returns
Autocorrelation, which is Morgan Sindall 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 Morgan Sindall's stock expected returns. We can calculate the autocorrelation of Morgan Sindall returns to help us make a trade decision. For example, suppose you find that Morgan Sindall 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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Morgan Sindall 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 Morgan Sindall stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Morgan Sindall stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Morgan Sindall stock over time.
Current vs Lagged Prices |
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Morgan Sindall Lagged Returns
When evaluating Morgan Sindall's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Morgan Sindall stock have on its future price. Morgan Sindall 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, Morgan Sindall autocorrelation shows the relationship between Morgan Sindall stock current value and its past values and can show if there is a momentum factor associated with investing in Morgan Sindall Group.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Morgan Stock Analysis
When running Morgan Sindall's price analysis, check to measure Morgan Sindall'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 Morgan Sindall is operating at the current time. Most of Morgan Sindall's value examination focuses on studying past and present price action to predict the probability of Morgan Sindall's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Morgan Sindall's price. Additionally, you may evaluate how the addition of Morgan Sindall to your portfolios can decrease your overall portfolio volatility.