MTU Aero (Germany) Market Value
| MTX Stock | 327.50 0.40 0.12% |
| 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 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 MTU Aero.
| 01/01/2025 |
| 01/31/2025 |
If you would invest 0.00 in MTU Aero on January 1, 2025 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 AECOM TECHNOLOGY, KIMBALL ELECTRONICS, Charter Communications, ULTRA CLEAN, Cleanaway Waste, and Arrow Electronics. 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 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 MTU Aero Engines upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.73 | |||
| Information Ratio | 0.0038 | |||
| Maximum Drawdown | 11.11 | |||
| Value At Risk | (1.73) | |||
| Potential Upside | 2.16 |
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 | 0.062 | |||
| Jensen Alpha | 0.0767 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | 0.0033 | |||
| Treynor Ratio | 0.4529 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of MTU Aero's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
MTU Aero Engines Backtested Returns
Currently, MTU Aero Engines is very steady. MTU Aero Engines has Sharpe Ratio of 0.0836, which conveys that the firm had a 0.0836 % return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for MTU Aero, which you can use to evaluate the volatility of the firm. Please verify MTU Aero's Market Risk Adjusted Performance of 0.4629, risk adjusted performance of 0.062, and Mean Deviation of 1.07 to check out if the risk estimate we provide is consistent with the expected return of 0.13%. MTU Aero has a performance score of 6 on a scale of 0 to 100. 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, MTU Aero's returns are expected to increase less than the market. However, during the bear market, the loss of holding MTU Aero is expected to be smaller as well. MTU Aero Engines presently secures a risk of 1.57%. Please verify MTU Aero Engines downside variance, as well as the relationship between the accumulation distribution and market facilitation index , to decide if MTU Aero Engines will be following its current price movements.
Auto-correlation | 0.14 |
Insignificant predictability
MTU Aero Engines has insignificant predictability. Overlapping area represents the amount of predictability between MTU Aero time series from 1st of January 2025 to 16th of January 2025 and 16th of January 2025 to 31st of January 2025. 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 0.14 indicates that less than 14.0% of current MTU Aero price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.14 | |
| Spearman Rank Test | -0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 76.41 |
MTU Aero Engines lagged returns against current returns
Autocorrelation, which is MTU Aero 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 MTU Aero's stock 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 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 |
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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MTU Aero stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MTU Aero stock 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 stock 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 stock 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 |
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 MTU Stock Analysis
When running MTU Aero's price analysis, check to measure MTU Aero'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 MTU Aero is operating at the current time. Most of MTU Aero's value examination focuses on studying past and present price action to predict the probability of MTU Aero's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move MTU Aero's price. Additionally, you may evaluate how the addition of MTU Aero to your portfolios can decrease your overall portfolio volatility.