MTRLimited (Germany) Market Value
| MRI Stock | EUR 3.26 0.12 3.55% |
| Symbol | MTRLimited |
MTRLimited '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 MTRLimited'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 MTRLimited.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in MTRLimited on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding MTR Limited or generate 0.0% return on investment in MTRLimited over 30 days. MTRLimited is related to or competes with AUSTEVOLL SEAFOOD, Dairy Farm, CAL-MAINE FOODS, MINCO SILVER, Coeur Mining, and AUSNUTRIA DAIRY. MTR Corporation Limited designs, constructs, operates, maintains, and invests in railways in Hong Kong, Australia, Mainl... More
MTRLimited 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 MTRLimited'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 MTR Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.78 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 8.37 | |||
| Value At Risk | (3.43) | |||
| Potential Upside | 3.11 |
MTRLimited Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MTRLimited's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MTRLimited's standard deviation. In reality, there are many statistical measures that can use MTRLimited historical prices to predict the future MTRLimited's volatility.| Risk Adjusted Performance | 0.034 | |||
| Jensen Alpha | 0.009 | |||
| Total Risk Alpha | (0.21) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.156 |
MTR Limited Backtested Returns
At this point, MTRLimited is slightly risky. MTR Limited has Sharpe Ratio of 0.0786, which conveys that the firm had a 0.0786% return per unit of volatility over the last 3 months. We have found twenty-eight technical indicators for MTRLimited, which you can use to evaluate the volatility of the firm. Please verify MTRLimited's risk adjusted performance of 0.034, and Mean Deviation of 1.09 to check out if the risk estimate we provide is consistent with the expected return of 0.12%. MTRLimited has a performance score of 6 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.32, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, MTRLimited's returns are expected to increase less than the market. However, during the bear market, the loss of holding MTRLimited is expected to be smaller as well. MTR Limited presently secures a risk of 1.51%. Please verify MTR Limited sortino ratio, potential upside, skewness, as well as the relationship between the maximum drawdown and semi variance , to decide if MTR Limited will be following its current price movements.
Auto-correlation | -0.2 |
Insignificant reverse predictability
MTR Limited has insignificant reverse predictability. Overlapping area represents the amount of predictability between MTRLimited time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th of November 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 MTR Limited price movement. The serial correlation of -0.2 indicates that over 20.0% of current MTRLimited price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.2 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
MTR Limited lagged returns against current returns
Autocorrelation, which is MTRLimited 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 MTRLimited's stock expected returns. We can calculate the autocorrelation of MTRLimited returns to help us make a trade decision. For example, suppose you find that MTRLimited 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 |
MTRLimited 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 MTRLimited stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MTRLimited stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MTRLimited stock over time.
Current vs Lagged Prices |
| Timeline |
MTRLimited Lagged Returns
When evaluating MTRLimited's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MTRLimited stock have on its future price. MTRLimited 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, MTRLimited autocorrelation shows the relationship between MTRLimited stock current value and its past values and can show if there is a momentum factor associated with investing in MTR Limited.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in MTRLimited Stock
MTRLimited financial ratios help investors to determine whether MTRLimited 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 MTRLimited with respect to the benefits of owning MTRLimited security.