Mhlbauer Holding (Germany) Market Value
| MUB Stock | 36.60 1.20 3.39% |
| Symbol | Mhlbauer |
Mhlbauer Holding '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 Mhlbauer Holding'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 Mhlbauer Holding.
| 05/27/2024 |
| 11/23/2024 |
If you would invest 0.00 in Mhlbauer Holding on May 27, 2024 and sell it all today you would earn a total of 0.00 from holding Mhlbauer Holding AG or generate 0.0% return on investment in Mhlbauer Holding over 180 days. Mhlbauer Holding is related to or competes with Dell Technologies, SEIKO EPSON, and Corsair Gaming. More
Mhlbauer Holding 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 Mhlbauer Holding'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 Mhlbauer Holding AG upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.37) | |||
| Maximum Drawdown | 10.72 | |||
| Value At Risk | (3.95) | |||
| Potential Upside | 2.41 |
Mhlbauer Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mhlbauer Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mhlbauer Holding's standard deviation. In reality, there are many statistical measures that can use Mhlbauer Holding historical prices to predict the future Mhlbauer Holding's volatility.| Risk Adjusted Performance | (0.23) | |||
| Jensen Alpha | (0.65) | |||
| Total Risk Alpha | (0.83) | |||
| Treynor Ratio | (1.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mhlbauer Holding'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.
Mhlbauer Holding Backtested Returns
Mhlbauer Holding has Sharpe Ratio of -0.3, which conveys that the firm had a -0.3% return per unit of risk over the last 3 months. Mhlbauer Holding exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Mhlbauer Holding's Standard Deviation of 1.88, risk adjusted performance of (0.23), and Mean Deviation of 1.38 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.58, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Mhlbauer Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mhlbauer Holding is expected to be smaller as well. At this point, Mhlbauer Holding has a negative expected return of -0.57%. Please make sure to verify Mhlbauer Holding's accumulation distribution, and the relationship between the value at risk and day typical price , to decide if Mhlbauer Holding performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.64 |
Good predictability
Mhlbauer Holding AG has good predictability. Overlapping area represents the amount of predictability between Mhlbauer Holding time series from 27th of May 2024 to 25th of August 2024 and 25th of August 2024 to 23rd 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 Mhlbauer Holding price movement. The serial correlation of 0.64 indicates that roughly 64.0% of current Mhlbauer Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.64 | |
| Spearman Rank Test | 0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 20.66 |
Mhlbauer Holding lagged returns against current returns
Autocorrelation, which is Mhlbauer Holding 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 Mhlbauer Holding's stock expected returns. We can calculate the autocorrelation of Mhlbauer Holding returns to help us make a trade decision. For example, suppose you find that Mhlbauer Holding 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 |
Mhlbauer Holding 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 Mhlbauer Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mhlbauer Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mhlbauer Holding stock over time.
Current vs Lagged Prices |
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Mhlbauer Holding Lagged Returns
When evaluating Mhlbauer Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mhlbauer Holding stock have on its future price. Mhlbauer Holding 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, Mhlbauer Holding autocorrelation shows the relationship between Mhlbauer Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Mhlbauer Holding AG.
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.Additional Tools for Mhlbauer Stock Analysis
When running Mhlbauer Holding's price analysis, check to measure Mhlbauer Holding'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 Mhlbauer Holding is operating at the current time. Most of Mhlbauer Holding's value examination focuses on studying past and present price action to predict the probability of Mhlbauer Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Mhlbauer Holding's price. Additionally, you may evaluate how the addition of Mhlbauer Holding to your portfolios can decrease your overall portfolio volatility.