Murata Manufacturing (Germany) Market Value
| MUR1 Stock | EUR 15.67 0.02 0.13% |
| Symbol | Murata |
Murata Manufacturing '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 Murata Manufacturing'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 Murata Manufacturing.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in Murata Manufacturing on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding Murata Manufacturing Co or generate 0.0% return on investment in Murata Manufacturing over 720 days. Murata Manufacturing is related to or competes with Hon Hai, and Sunny Optical. Murata Manufacturing Co., Ltd. designs, manufactures, and sells electronic components in Japan and internationally More
Murata Manufacturing 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 Murata Manufacturing'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 Murata Manufacturing Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 10.91 | |||
| Value At Risk | (3.11) | |||
| Potential Upside | 3.94 |
Murata Manufacturing Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Murata Manufacturing's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Murata Manufacturing's standard deviation. In reality, there are many statistical measures that can use Murata Manufacturing historical prices to predict the future Murata Manufacturing's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.52) | |||
| Treynor Ratio | (1.98) |
Murata Manufacturing Backtested Returns
Murata Manufacturing has Sharpe Ratio of -0.0777, which conveys that the firm had a -0.0777% return per unit of risk over the last 3 months. Murata Manufacturing exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Murata Manufacturing's Standard Deviation of 2.11, mean deviation of 1.58, and Risk Adjusted Performance of (0.06) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.0937, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Murata Manufacturing's returns are expected to increase less than the market. However, during the bear market, the loss of holding Murata Manufacturing is expected to be smaller as well. At this point, Murata Manufacturing has a negative expected return of -0.17%. Please make sure to verify Murata Manufacturing's total risk alpha, potential upside, kurtosis, as well as the relationship between the treynor ratio and skewness , to decide if Murata Manufacturing performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.07 |
Very weak reverse predictability
Murata Manufacturing Co has very weak reverse predictability. Overlapping area represents the amount of predictability between Murata Manufacturing time series from 7th of December 2022 to 2nd of December 2023 and 2nd of December 2023 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 Murata Manufacturing price movement. The serial correlation of -0.07 indicates that barely 7.0% of current Murata Manufacturing price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.07 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 1.59 |
Murata Manufacturing lagged returns against current returns
Autocorrelation, which is Murata Manufacturing 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 Murata Manufacturing's stock expected returns. We can calculate the autocorrelation of Murata Manufacturing returns to help us make a trade decision. For example, suppose you find that Murata Manufacturing 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 |
Murata Manufacturing 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 Murata Manufacturing stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Murata Manufacturing stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Murata Manufacturing stock over time.
Current vs Lagged Prices |
| Timeline |
Murata Manufacturing Lagged Returns
When evaluating Murata Manufacturing's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Murata Manufacturing stock have on its future price. Murata Manufacturing 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, Murata Manufacturing autocorrelation shows the relationship between Murata Manufacturing stock current value and its past values and can show if there is a momentum factor associated with investing in Murata Manufacturing Co.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Murata Stock
Murata Manufacturing financial ratios help investors to determine whether Murata 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 Murata with respect to the benefits of owning Murata Manufacturing security.