Malvern International (UK) Market Value
| MLVN Stock | 22.00 1.00 4.76% |
| Symbol | Malvern |
Malvern International '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 Malvern International'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 Malvern International.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Malvern International on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Malvern International or generate 0.0% return on investment in Malvern International over 30 days. Malvern International is related to or competes with National Atomic, OTP Bank, Samsung Electronics, Samsung Electronics, Toyota, and Komercni Banka. Malvern International is entity of United Kingdom More
Malvern International 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 Malvern International'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 Malvern International upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.74 | |||
| Information Ratio | 0.0654 | |||
| Maximum Drawdown | 16.37 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 5.26 |
Malvern International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Malvern International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Malvern International's standard deviation. In reality, there are many statistical measures that can use Malvern International historical prices to predict the future Malvern International's volatility.| Risk Adjusted Performance | 0.0886 | |||
| Jensen Alpha | 0.2367 | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | 0.03 | |||
| Treynor Ratio | 0.6544 |
Malvern International Backtested Returns
Malvern International appears to be not too volatile, given 3 months investment horizon. Malvern International has Sharpe Ratio of 0.0992, which conveys that the firm had a 0.0992% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Malvern International, which you can use to evaluate the volatility of the firm. Please exercise Malvern International's Mean Deviation of 1.33, risk adjusted performance of 0.0886, and Downside Deviation of 5.74 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Malvern International holds a performance score of 7. The company secures a Beta (Market Risk) of 0.44, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Malvern International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Malvern International is expected to be smaller as well. Please check Malvern International's total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether Malvern International's current price movements will revert.
Auto-correlation | 0.69 |
Good predictability
Malvern International has good predictability. Overlapping area represents the amount of predictability between Malvern International time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 Malvern International price movement. The serial correlation of 0.69 indicates that around 69.0% of current Malvern International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 0.19 |
Malvern International lagged returns against current returns
Autocorrelation, which is Malvern International 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 Malvern International's stock expected returns. We can calculate the autocorrelation of Malvern International returns to help us make a trade decision. For example, suppose you find that Malvern International 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 |
Malvern International 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 Malvern International stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Malvern International stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Malvern International stock over time.
Current vs Lagged Prices |
| Timeline |
Malvern International Lagged Returns
When evaluating Malvern International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Malvern International stock have on its future price. Malvern International 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, Malvern International autocorrelation shows the relationship between Malvern International stock current value and its past values and can show if there is a momentum factor associated with investing in Malvern International.
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.Additional Tools for Malvern Stock Analysis
When running Malvern International's price analysis, check to measure Malvern International'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 Malvern International is operating at the current time. Most of Malvern International's value examination focuses on studying past and present price action to predict the probability of Malvern International's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Malvern International's price. Additionally, you may evaluate how the addition of Malvern International to your portfolios can decrease your overall portfolio volatility.