Murree Brewery (Pakistan) Market Value
| MUREB Stock | 670.00 3.84 0.57% |
| Symbol | Murree |
Murree Brewery '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 Murree Brewery'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 Murree Brewery.
| 01/31/2024 |
| 11/26/2024 |
If you would invest 0.00 in Murree Brewery on January 31, 2024 and sell it all today you would earn a total of 0.00 from holding Murree Brewery or generate 0.0% return on investment in Murree Brewery over 300 days.
Murree Brewery 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 Murree Brewery'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 Murree Brewery upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.27 | |||
| Information Ratio | 0.1921 | |||
| Maximum Drawdown | 6.88 | |||
| Value At Risk | (1.95) | |||
| Potential Upside | 3.18 |
Murree Brewery Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Murree Brewery's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Murree Brewery's standard deviation. In reality, there are many statistical measures that can use Murree Brewery historical prices to predict the future Murree Brewery's volatility.| Risk Adjusted Performance | 0.2175 | |||
| Jensen Alpha | 0.461 | |||
| Total Risk Alpha | 0.1737 | |||
| Sortino Ratio | 0.2255 | |||
| Treynor Ratio | (0.87) |
Murree Brewery Backtested Returns
Murree Brewery appears to be very steady, given 3 months investment horizon. Murree Brewery has Sharpe Ratio of 0.29, which conveys that the firm had a 0.29% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Murree Brewery, which you can use to evaluate the volatility of the firm. Please exercise Murree Brewery's Risk Adjusted Performance of 0.2175, downside deviation of 1.27, and Mean Deviation of 1.13 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Murree Brewery holds a performance score of 22. The company secures a Beta (Market Risk) of -0.47, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Murree Brewery are expected to decrease at a much lower rate. During the bear market, Murree Brewery is likely to outperform the market. Please check Murree Brewery's expected short fall, day median price, and the relationship between the potential upside and accumulation distribution , to make a quick decision on whether Murree Brewery's current price movements will revert.
Auto-correlation | 0.59 |
Modest predictability
Murree Brewery has modest predictability. Overlapping area represents the amount of predictability between Murree Brewery time series from 31st of January 2024 to 29th of June 2024 and 29th of June 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 Murree Brewery price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current Murree Brewery price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 2335.48 |
Murree Brewery lagged returns against current returns
Autocorrelation, which is Murree Brewery 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 Murree Brewery's stock expected returns. We can calculate the autocorrelation of Murree Brewery returns to help us make a trade decision. For example, suppose you find that Murree Brewery 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 |
Murree Brewery 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 Murree Brewery stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Murree Brewery stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Murree Brewery stock over time.
Current vs Lagged Prices |
| Timeline |
Murree Brewery Lagged Returns
When evaluating Murree Brewery's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Murree Brewery stock have on its future price. Murree Brewery 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, Murree Brewery autocorrelation shows the relationship between Murree Brewery stock current value and its past values and can show if there is a momentum factor associated with investing in Murree Brewery.
Regressed Prices |
| Timeline |
Pair Trading with Murree Brewery
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Murree Brewery position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Murree Brewery will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Murree Brewery could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Murree Brewery when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Murree Brewery - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Murree Brewery to buy it.
The correlation of Murree Brewery is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Murree Brewery moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Murree Brewery moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Murree Brewery can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.