MASSACHUSETTS INST TECHNOLOGY Market Value
| 575718AB7 | 96.80 5.08 5.54% |
| Symbol | MASSACHUSETTS |
MASSACHUSETTS '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 MASSACHUSETTS's bond 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 MASSACHUSETTS.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in MASSACHUSETTS on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding MASSACHUSETTS INST TECHNOLOGY or generate 0.0% return on investment in MASSACHUSETTS over 30 days. MASSACHUSETTS is related to or competes with Citi Trends, Corporacion America, Cebu Air, Gap,, Alaska Air, HF Sinclair, and Victorias Secret. More
MASSACHUSETTS 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 MASSACHUSETTS's bond 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 MASSACHUSETTS INST TECHNOLOGY upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.86 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 14.08 | |||
| Value At Risk | (2.03) | |||
| Potential Upside | 2.67 |
MASSACHUSETTS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MASSACHUSETTS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MASSACHUSETTS's standard deviation. In reality, there are many statistical measures that can use MASSACHUSETTS historical prices to predict the future MASSACHUSETTS's volatility.| Risk Adjusted Performance | 0.0221 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.33) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.108 |
MASSACHUSETTS INST Backtested Returns
At this point, MASSACHUSETTS is very steady. MASSACHUSETTS INST has Sharpe Ratio of 0.0382, which conveys that the bond had a 0.0382% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for MASSACHUSETTS, which you can use to evaluate the volatility of the entity. Please verify MASSACHUSETTS's downside deviation of 1.86, and Mean Deviation of 1.3 to check out if the risk estimate we provide is consistent with the expected return of 0.0522%. The entity secures a Beta (Market Risk) of 0.31, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, MASSACHUSETTS's returns are expected to increase less than the market. However, during the bear market, the loss of holding MASSACHUSETTS is expected to be smaller as well.
Auto-correlation | -0.54 |
Good reverse predictability
MASSACHUSETTS INST TECHNOLOGY has good reverse predictability. Overlapping area represents the amount of predictability between MASSACHUSETTS time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 2024 to 2nd of December 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 MASSACHUSETTS INST price movement. The serial correlation of -0.54 indicates that about 54.0% of current MASSACHUSETTS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 6.12 |
MASSACHUSETTS INST lagged returns against current returns
Autocorrelation, which is MASSACHUSETTS bond'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 MASSACHUSETTS's bond expected returns. We can calculate the autocorrelation of MASSACHUSETTS returns to help us make a trade decision. For example, suppose you find that MASSACHUSETTS has exhibited high autocorrelation historically, and you observe that the bond 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 |
MASSACHUSETTS 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 MASSACHUSETTS bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MASSACHUSETTS bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MASSACHUSETTS bond over time.
Current vs Lagged Prices |
| Timeline |
MASSACHUSETTS Lagged Returns
When evaluating MASSACHUSETTS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MASSACHUSETTS bond have on its future price. MASSACHUSETTS 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, MASSACHUSETTS autocorrelation shows the relationship between MASSACHUSETTS bond current value and its past values and can show if there is a momentum factor associated with investing in MASSACHUSETTS INST TECHNOLOGY.
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.Other Information on Investing in MASSACHUSETTS Bond
MASSACHUSETTS financial ratios help investors to determine whether MASSACHUSETTS Bond 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 MASSACHUSETTS with respect to the benefits of owning MASSACHUSETTS security.