Medibank Private (Australia) Market Value
| MPL Stock | 3.74 0.04 1.06% |
| Symbol | Medibank |
Medibank Private '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 Medibank Private'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 Medibank Private.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Medibank Private on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Medibank Private or generate 0.0% return on investment in Medibank Private over 30 days. Medibank Private is related to or competes with Westpac Banking, National Australia, National Australia, National Australia, Commonwealth Bank, Commonwealth Bank, and ANZ Group. Medibank Private is entity of Australia. It is traded as Stock on AU exchange. More
Medibank Private 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 Medibank Private'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 Medibank Private upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 3.98 | |||
| Value At Risk | (1.58) | |||
| Potential Upside | 1.62 |
Medibank Private Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Medibank Private's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Medibank Private's standard deviation. In reality, there are many statistical measures that can use Medibank Private historical prices to predict the future Medibank Private's volatility.| Risk Adjusted Performance | 4.0E-4 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.17) | |||
| Treynor Ratio | (0.05) |
Medibank Private Backtested Returns
Currently, Medibank Private is somewhat reliable. Medibank Private has Sharpe Ratio of 0.0091, which conveys that the firm had a 0.0091% return per unit of risk over the last 3 months. We have found twenty-two technical indicators for Medibank Private, which you can use to evaluate the volatility of the firm. Please verify Medibank Private's Mean Deviation of 0.8088, risk adjusted performance of 4.0E-4, and Standard Deviation of 0.9903 to check out if the risk estimate we provide is consistent with the expected return of 0.0089%. The company secures a Beta (Market Risk) of 0.26, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Medibank Private's returns are expected to increase less than the market. However, during the bear market, the loss of holding Medibank Private is expected to be smaller as well. Medibank Private right now secures a risk of 0.98%. Please verify Medibank Private coefficient of variation, information ratio, total risk alpha, as well as the relationship between the standard deviation and jensen alpha , to decide if Medibank Private will be following its current price movements.
Auto-correlation | -0.07 |
Very weak reverse predictability
Medibank Private has very weak reverse predictability. Overlapping area represents the amount of predictability between Medibank Private time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th 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 Medibank Private price movement. The serial correlation of -0.07 indicates that barely 7.0% of current Medibank Private price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.07 | |
| Spearman Rank Test | -0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Medibank Private lagged returns against current returns
Autocorrelation, which is Medibank Private 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 Medibank Private's stock expected returns. We can calculate the autocorrelation of Medibank Private returns to help us make a trade decision. For example, suppose you find that Medibank Private 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 |
Medibank Private 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 Medibank Private stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Medibank Private stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Medibank Private stock over time.
Current vs Lagged Prices |
| Timeline |
Medibank Private Lagged Returns
When evaluating Medibank Private's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Medibank Private stock have on its future price. Medibank Private 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, Medibank Private autocorrelation shows the relationship between Medibank Private stock current value and its past values and can show if there is a momentum factor associated with investing in Medibank Private.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Medibank Stock Analysis
When running Medibank Private's price analysis, check to measure Medibank Private'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 Medibank Private is operating at the current time. Most of Medibank Private's value examination focuses on studying past and present price action to predict the probability of Medibank Private's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Medibank Private's price. Additionally, you may evaluate how the addition of Medibank Private to your portfolios can decrease your overall portfolio volatility.