Millenium Hotels (Spain) Market Value
| YMHRE Stock | 2.74 0.06 2.14% |
| Symbol | Millenium |
Millenium Hotels '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 Millenium Hotels' 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 Millenium Hotels.
| 09/02/2024 |
| 12/01/2024 |
If you would invest 0.00 in Millenium Hotels on September 2, 2024 and sell it all today you would earn a total of 0.00 from holding Millenium Hotels Real or generate 0.0% return on investment in Millenium Hotels over 90 days.
Millenium Hotels 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 Millenium Hotels' 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 Millenium Hotels Real upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 62.11 | |||
| Value At Risk | (2.14) | |||
| Potential Upside | 1.4 |
Millenium Hotels Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Millenium Hotels' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Millenium Hotels' standard deviation. In reality, there are many statistical measures that can use Millenium Hotels historical prices to predict the future Millenium Hotels' volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (1.29) | |||
| Treynor Ratio | 0.2955 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Millenium Hotels' 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.
Millenium Hotels Real Backtested Returns
Millenium Hotels Real has Sharpe Ratio of -0.0314, which conveys that the firm had a -0.0314% return per unit of risk over the last 3 months. Millenium Hotels exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Millenium Hotels' Mean Deviation of 1.9, standard deviation of 6.44, and Risk Adjusted Performance of (0.02) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.72, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Millenium Hotels are expected to decrease at a much lower rate. During the bear market, Millenium Hotels is likely to outperform the market. At this point, Millenium Hotels Real has a negative expected return of -0.2%. Please make sure to verify Millenium Hotels' skewness, as well as the relationship between the rate of daily change and price action indicator , to decide if Millenium Hotels Real performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.81 |
Excellent reverse predictability
Millenium Hotels Real has excellent reverse predictability. Overlapping area represents the amount of predictability between Millenium Hotels time series from 2nd of September 2024 to 17th of October 2024 and 17th of October 2024 to 1st 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 Millenium Hotels Real price movement. The serial correlation of -0.81 indicates that around 81.0% of current Millenium Hotels price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.81 | |
| Spearman Rank Test | -0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Millenium Hotels Real lagged returns against current returns
Autocorrelation, which is Millenium Hotels 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 Millenium Hotels' stock expected returns. We can calculate the autocorrelation of Millenium Hotels returns to help us make a trade decision. For example, suppose you find that Millenium Hotels 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 |
Millenium Hotels 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 Millenium Hotels stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Millenium Hotels stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Millenium Hotels stock over time.
Current vs Lagged Prices |
| Timeline |
Millenium Hotels Lagged Returns
When evaluating Millenium Hotels' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Millenium Hotels stock have on its future price. Millenium Hotels 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, Millenium Hotels autocorrelation shows the relationship between Millenium Hotels stock current value and its past values and can show if there is a momentum factor associated with investing in Millenium Hotels Real.
Regressed Prices |
| Timeline |