Mersen SA (France) Market Value
| MRN Stock | EUR 20.10 0.25 1.23% |
| Symbol | Mersen |
Mersen SA '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 Mersen SA'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 Mersen SA.
| 08/29/2024 |
| 11/27/2024 |
If you would invest 0.00 in Mersen SA on August 29, 2024 and sell it all today you would earn a total of 0.00 from holding Mersen SA or generate 0.0% return on investment in Mersen SA over 90 days. Mersen SA is related to or competes with Derichebourg, Bnteau SA, Ipsos SA, Imerys SA, and Trigano SA. Mersen SA manufactures and sells electrical power products and advanced materials in France, North America, rest of Euro... More
Mersen SA 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 Mersen SA'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 Mersen SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.27) | |||
| Maximum Drawdown | 13.82 | |||
| Value At Risk | (6.12) | |||
| Potential Upside | 3.12 |
Mersen SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mersen SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mersen SA's standard deviation. In reality, there are many statistical measures that can use Mersen SA historical prices to predict the future Mersen SA's volatility.| Risk Adjusted Performance | (0.16) | |||
| Jensen Alpha | (0.61) | |||
| Total Risk Alpha | (1.06) | |||
| Treynor Ratio | 20.4 |
Mersen SA Backtested Returns
Mersen SA has Sharpe Ratio of -0.22, which conveys that the firm had a -0.22% return per unit of risk over the last 3 months. Mersen SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Mersen SA's Mean Deviation of 2.05, standard deviation of 2.78, and Risk Adjusted Performance of (0.16) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.0303, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Mersen SA are expected to decrease at a much lower rate. During the bear market, Mersen SA is likely to outperform the market. At this point, Mersen SA has a negative expected return of -0.62%. Please make sure to verify Mersen SA's accumulation distribution, and the relationship between the potential upside and day median price , to decide if Mersen SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.58 |
Modest predictability
Mersen SA has modest predictability. Overlapping area represents the amount of predictability between Mersen SA time series from 29th of August 2024 to 13th of October 2024 and 13th of October 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 Mersen SA price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Mersen SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 3.03 |
Mersen SA lagged returns against current returns
Autocorrelation, which is Mersen SA 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 Mersen SA's stock expected returns. We can calculate the autocorrelation of Mersen SA returns to help us make a trade decision. For example, suppose you find that Mersen SA 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 |
Mersen SA 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 Mersen SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mersen SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mersen SA stock over time.
Current vs Lagged Prices |
| Timeline |
Mersen SA Lagged Returns
When evaluating Mersen SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mersen SA stock have on its future price. Mersen SA 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, Mersen SA autocorrelation shows the relationship between Mersen SA stock current value and its past values and can show if there is a momentum factor associated with investing in Mersen SA.
Regressed Prices |
| Timeline |
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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.Other Information on Investing in Mersen Stock
Mersen SA financial ratios help investors to determine whether Mersen Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Mersen with respect to the benefits of owning Mersen SA security.