MGP Ingredients (Germany) Market Value
| M1I Stock | 40.00 0.80 1.96% |
| Symbol | MGP |
MGP Ingredients '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 MGP Ingredients' 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 MGP Ingredients.
| 06/24/2024 |
| 12/21/2024 |
If you would invest 0.00 in MGP Ingredients on June 24, 2024 and sell it all today you would earn a total of 0.00 from holding MGP Ingredients or generate 0.0% return on investment in MGP Ingredients over 180 days. MGP Ingredients is related to or competes with THRACE PLASTICS, Rayonier Advanced, Martin Marietta, Hyster Yale, and THAI BEVERAGE. More
MGP Ingredients 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 MGP Ingredients' 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 MGP Ingredients upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 22.8 | |||
| Value At Risk | (5.83) | |||
| Potential Upside | 3.83 |
MGP Ingredients Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MGP Ingredients' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MGP Ingredients' standard deviation. In reality, there are many statistical measures that can use MGP Ingredients historical prices to predict the future MGP Ingredients' volatility.| Risk Adjusted Performance | (0.16) | |||
| Jensen Alpha | (0.86) | |||
| Total Risk Alpha | (0.96) | |||
| Treynor Ratio | (3.52) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of MGP Ingredients' 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.
MGP Ingredients Backtested Returns
MGP Ingredients has Sharpe Ratio of -0.22, which conveys that the firm had a -0.22% return per unit of volatility over the last 3 months. MGP Ingredients exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify MGP Ingredients' mean deviation of 2.22, and Risk Adjusted Performance of (0.16) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.24, which conveys not very significant fluctuations relative to the market. As returns on the market increase, MGP Ingredients' returns are expected to increase less than the market. However, during the bear market, the loss of holding MGP Ingredients is expected to be smaller as well. At this point, MGP Ingredients has a negative expected return of -0.87%. Please make sure to verify MGP Ingredients' daily balance of power, and the relationship between the potential upside and day typical price , to decide if MGP Ingredients performance from the past will be repeated at future time.
Auto-correlation | -0.87 |
Excellent reverse predictability
MGP Ingredients has excellent reverse predictability. Overlapping area represents the amount of predictability between MGP Ingredients time series from 24th of June 2024 to 22nd of September 2024 and 22nd of September 2024 to 21st 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 MGP Ingredients price movement. The serial correlation of -0.87 indicates that approximately 87.0% of current MGP Ingredients price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.87 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 166.89 |
MGP Ingredients lagged returns against current returns
Autocorrelation, which is MGP Ingredients 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 MGP Ingredients' stock expected returns. We can calculate the autocorrelation of MGP Ingredients returns to help us make a trade decision. For example, suppose you find that MGP Ingredients 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 |
MGP Ingredients 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 MGP Ingredients stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MGP Ingredients stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MGP Ingredients stock over time.
Current vs Lagged Prices |
| Timeline |
MGP Ingredients Lagged Returns
When evaluating MGP Ingredients' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MGP Ingredients stock have on its future price. MGP Ingredients 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, MGP Ingredients autocorrelation shows the relationship between MGP Ingredients stock current value and its past values and can show if there is a momentum factor associated with investing in MGP Ingredients.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for MGP Stock Analysis
When running MGP Ingredients' price analysis, check to measure MGP Ingredients' 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 MGP Ingredients is operating at the current time. Most of MGP Ingredients' value examination focuses on studying past and present price action to predict the probability of MGP Ingredients' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move MGP Ingredients' price. Additionally, you may evaluate how the addition of MGP Ingredients to your portfolios can decrease your overall portfolio volatility.