MTN (South Africa) Market Value
| MTN Stock | 8,074 74.00 0.91% |
| Symbol | MTN |
MTN '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 MTN'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 MTN.
| 06/04/2024 |
| 12/01/2024 |
If you would invest 0.00 in MTN on June 4, 2024 and sell it all today you would earn a total of 0.00 from holding MTN Group or generate 0.0% return on investment in MTN over 180 days. MTN is related to or competes with British Amer, HomeChoice Investments, Lesaka Technologies, Harmony Gold, RCL Foods, and Astoria Investments. More
MTN 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 MTN'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 MTN Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 7.53 | |||
| Value At Risk | (3.01) | |||
| Potential Upside | 1.75 |
MTN Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MTN's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MTN's standard deviation. In reality, there are many statistical measures that can use MTN historical prices to predict the future MTN's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.18) | |||
| Total Risk Alpha | (0.45) | |||
| Treynor Ratio | 0.9774 |
MTN Group Backtested Returns
MTN Group has Sharpe Ratio of -0.086, which conveys that the firm had a -0.086% return per unit of volatility over the last 3 months. MTN exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify MTN's mean deviation of 1.1, and Risk Adjusted Performance of (0.1) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.21, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning MTN are expected to decrease at a much lower rate. During the bear market, MTN is likely to outperform the market. At this point, MTN Group has a negative expected return of -0.12%. Please make sure to verify MTN's maximum drawdown, kurtosis, day median price, as well as the relationship between the potential upside and daily balance of power , to decide if MTN Group performance from the past will be repeated at future time.
Auto-correlation | -0.43 |
Modest reverse predictability
MTN Group has modest reverse predictability. Overlapping area represents the amount of predictability between MTN time series from 4th of June 2024 to 2nd of September 2024 and 2nd of September 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 MTN Group price movement. The serial correlation of -0.43 indicates that just about 43.0% of current MTN price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.43 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 182.5 K |
MTN Group lagged returns against current returns
Autocorrelation, which is MTN 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 MTN's stock expected returns. We can calculate the autocorrelation of MTN returns to help us make a trade decision. For example, suppose you find that MTN 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 |
MTN 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 MTN stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MTN stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MTN stock over time.
Current vs Lagged Prices |
| Timeline |
MTN Lagged Returns
When evaluating MTN's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MTN stock have on its future price. MTN 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, MTN autocorrelation shows the relationship between MTN stock current value and its past values and can show if there is a momentum factor associated with investing in MTN Group.
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 MTN Stock
MTN financial ratios help investors to determine whether MTN 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 MTN with respect to the benefits of owning MTN security.