Marcopolo (Brazil) Market Value
| POMO3 Stock | BRL 7.21 0.07 0.96% |
| Symbol | Marcopolo |
Marcopolo '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 Marcopolo'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 Marcopolo.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Marcopolo on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Marcopolo SA or generate 0.0% return on investment in Marcopolo over 30 days. Marcopolo is related to or competes with Marcopolo, Randon SA, Randon SA, Klabin SA, and Indstrias Romi. Marcopolo S.A. manufactures and sells buses, automobiles, wagons, parts, and agricultural and industrial machinery in Br... More
Marcopolo 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 Marcopolo'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 Marcopolo SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.72 | |||
| Information Ratio | 0.188 | |||
| Maximum Drawdown | 10.01 | |||
| Value At Risk | (2.62) | |||
| Potential Upside | 3.68 |
Marcopolo Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Marcopolo's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Marcopolo's standard deviation. In reality, there are many statistical measures that can use Marcopolo historical prices to predict the future Marcopolo's volatility.| Risk Adjusted Performance | 0.2004 | |||
| Jensen Alpha | 0.4999 | |||
| Total Risk Alpha | 0.182 | |||
| Sortino Ratio | 0.2189 | |||
| Treynor Ratio | (24.50) |
Marcopolo SA Backtested Returns
Marcopolo appears to be somewhat reliable, given 3 months investment horizon. Marcopolo SA has Sharpe Ratio of 0.23, which conveys that the firm had a 0.23% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Marcopolo, which you can use to evaluate the volatility of the firm. Please exercise Marcopolo's Downside Deviation of 1.72, risk adjusted performance of 0.2004, and Mean Deviation of 1.52 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Marcopolo holds a performance score of 18. The company secures a Beta (Market Risk) of -0.0203, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Marcopolo are expected to decrease at a much lower rate. During the bear market, Marcopolo is likely to outperform the market. Please check Marcopolo's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to make a quick decision on whether Marcopolo's current price movements will revert.
Auto-correlation | 0.24 |
Weak predictability
Marcopolo SA has weak predictability. Overlapping area represents the amount of predictability between Marcopolo 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 Marcopolo SA price movement. The serial correlation of 0.24 indicates that over 24.0% of current Marcopolo price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Marcopolo SA lagged returns against current returns
Autocorrelation, which is Marcopolo 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 Marcopolo's stock expected returns. We can calculate the autocorrelation of Marcopolo returns to help us make a trade decision. For example, suppose you find that Marcopolo 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 |
Marcopolo 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 Marcopolo stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Marcopolo stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Marcopolo stock over time.
Current vs Lagged Prices |
| Timeline |
Marcopolo Lagged Returns
When evaluating Marcopolo's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Marcopolo stock have on its future price. Marcopolo 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, Marcopolo autocorrelation shows the relationship between Marcopolo stock current value and its past values and can show if there is a momentum factor associated with investing in Marcopolo SA.
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 Marcopolo Stock Analysis
When running Marcopolo's price analysis, check to measure Marcopolo'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 Marcopolo is operating at the current time. Most of Marcopolo's value examination focuses on studying past and present price action to predict the probability of Marcopolo's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Marcopolo's price. Additionally, you may evaluate how the addition of Marcopolo to your portfolios can decrease your overall portfolio volatility.