SAN MIGUEL (Germany) Market Value
| MBR Stock | EUR 0.11 0.00 0.00% |
| Symbol | SAN |
SAN MIGUEL '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 SAN MIGUEL'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 SAN MIGUEL.
| 09/03/2024 |
| 12/02/2024 |
If you would invest 0.00 in SAN MIGUEL on September 3, 2024 and sell it all today you would earn a total of 0.00 from holding SAN MIGUEL BREWERY or generate 0.0% return on investment in SAN MIGUEL over 90 days. SAN MIGUEL is related to or competes with TOTAL GABON, and Walgreens Boots. More
SAN MIGUEL 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 SAN MIGUEL'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 SAN MIGUEL BREWERY upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 13.87 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 35.76 | |||
| Value At Risk | (8.33) | |||
| Potential Upside | 9.09 |
SAN MIGUEL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAN MIGUEL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAN MIGUEL's standard deviation. In reality, there are many statistical measures that can use SAN MIGUEL historical prices to predict the future SAN MIGUEL's volatility.| Risk Adjusted Performance | 0.0115 | |||
| Jensen Alpha | 0.0219 | |||
| Total Risk Alpha | (0.88) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | (0.12) |
SAN MIGUEL BREWERY Backtested Returns
At this point, SAN MIGUEL is out of control. SAN MIGUEL BREWERY owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0281, which indicates the company had a 0.0281% return per unit of standard deviation over the last 3 months. We have found twenty-four technical indicators for SAN MIGUEL BREWERY, which you can use to evaluate the volatility of the entity. Please validate SAN MIGUEL's Risk Adjusted Performance of 0.0115, market risk adjusted performance of (0.11), and Downside Deviation of 13.87 to confirm if the risk estimate we provide is consistent with the expected return of 0.15%. SAN MIGUEL has a performance score of 2 on a scale of 0 to 100. The firm has a beta of -0.0899, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SAN MIGUEL are expected to decrease at a much lower rate. During the bear market, SAN MIGUEL is likely to outperform the market. SAN MIGUEL BREWERY currently has a risk of 5.29%. Please validate SAN MIGUEL jensen alpha, sortino ratio, maximum drawdown, as well as the relationship between the total risk alpha and treynor ratio , to decide if SAN MIGUEL will be following its existing price patterns.
Auto-correlation | 0.19 |
Very weak predictability
SAN MIGUEL BREWERY has very weak predictability. Overlapping area represents the amount of predictability between SAN MIGUEL time series from 3rd of September 2024 to 18th of October 2024 and 18th of October 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 SAN MIGUEL BREWERY price movement. The serial correlation of 0.19 indicates that over 19.0% of current SAN MIGUEL price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.19 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
SAN MIGUEL BREWERY lagged returns against current returns
Autocorrelation, which is SAN MIGUEL 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 SAN MIGUEL's stock expected returns. We can calculate the autocorrelation of SAN MIGUEL returns to help us make a trade decision. For example, suppose you find that SAN MIGUEL 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 |
SAN MIGUEL 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 SAN MIGUEL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAN MIGUEL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAN MIGUEL stock over time.
Current vs Lagged Prices |
| Timeline |
SAN MIGUEL Lagged Returns
When evaluating SAN MIGUEL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAN MIGUEL stock have on its future price. SAN MIGUEL 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, SAN MIGUEL autocorrelation shows the relationship between SAN MIGUEL stock current value and its past values and can show if there is a momentum factor associated with investing in SAN MIGUEL BREWERY.
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.Other Information on Investing in SAN Stock
SAN MIGUEL financial ratios help investors to determine whether SAN 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 SAN with respect to the benefits of owning SAN MIGUEL security.