Mtu Aero Engines Stock Market Value
| MTUAF Stock | USD 329.14 7.88 2.34% |
| Symbol | MTU |
MTU Aero '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 MTU Aero's pink sheet 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 MTU Aero.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in MTU Aero on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding MTU Aero Engines or generate 0.0% return on investment in MTU Aero over 30 days. MTU Aero is related to or competes with AAR Corp, Curtiss Wright, Hexcel, Moog, Smith Wesson, Ammo, and Park Electrochemical. MTU Aero Engines AG, together with its subsidiaries, develops, manufactures, markets, and maintains commercial and milit... More
MTU Aero 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 MTU Aero's pink sheet 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 MTU Aero Engines upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.6 | |||
| Information Ratio | 0.0457 | |||
| Maximum Drawdown | 17.04 | |||
| Value At Risk | (4.67) | |||
| Potential Upside | 5.82 |
MTU Aero Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MTU Aero's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MTU Aero's standard deviation. In reality, there are many statistical measures that can use MTU Aero historical prices to predict the future MTU Aero's volatility.| Risk Adjusted Performance | 0.0708 | |||
| Jensen Alpha | 0.2974 | |||
| Total Risk Alpha | (0.28) | |||
| Sortino Ratio | 0.0455 | |||
| Treynor Ratio | (2.76) |
MTU Aero Engines Backtested Returns
MTU Aero appears to be very steady, given 3 months investment horizon. MTU Aero Engines has Sharpe Ratio of 0.0632, which conveys that the firm had a 0.0632% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for MTU Aero, which you can use to evaluate the volatility of the firm. Please exercise MTU Aero's Mean Deviation of 2.82, risk adjusted performance of 0.0708, and Market Risk Adjusted Performance of (2.75) to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, MTU Aero holds a performance score of 4. The company secures a Beta (Market Risk) of -0.1, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning MTU Aero are expected to decrease at a much lower rate. During the bear market, MTU Aero is likely to outperform the market. Please check MTU Aero's kurtosis, market facilitation index, and the relationship between the semi variance and rate of daily change , to make a quick decision on whether MTU Aero's current price movements will revert.
Auto-correlation | -0.15 |
Insignificant reverse predictability
MTU Aero Engines has insignificant reverse predictability. Overlapping area represents the amount of predictability between MTU Aero 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 MTU Aero Engines price movement. The serial correlation of -0.15 indicates that less than 15.0% of current MTU Aero price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | 0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 28.87 |
MTU Aero Engines lagged returns against current returns
Autocorrelation, which is MTU Aero pink sheet'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 MTU Aero's pink sheet expected returns. We can calculate the autocorrelation of MTU Aero returns to help us make a trade decision. For example, suppose you find that MTU Aero has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
MTU Aero 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 MTU Aero pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MTU Aero pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MTU Aero pink sheet over time.
Current vs Lagged Prices |
| Timeline |
MTU Aero Lagged Returns
When evaluating MTU Aero's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MTU Aero pink sheet have on its future price. MTU Aero 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, MTU Aero autocorrelation shows the relationship between MTU Aero pink sheet current value and its past values and can show if there is a momentum factor associated with investing in MTU Aero Engines.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in MTU Pink Sheet
MTU Aero financial ratios help investors to determine whether MTU Pink Sheet 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 MTU with respect to the benefits of owning MTU Aero security.