Martifer SGPS (Portugal) Market Value
| MAR Stock | EUR 1.76 0.02 1.15% |
| Symbol | Martifer |
Martifer SGPS '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 Martifer SGPS'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 Martifer SGPS.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Martifer SGPS on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Martifer SGPS SA or generate 0.0% return on investment in Martifer SGPS over 30 days. Martifer SGPS is related to or competes with Mota Engil, Impresa Sociedade, Altri SGPS, and Sonae SGPS. More
Martifer SGPS 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 Martifer SGPS'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 Martifer SGPS SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.32 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 8.37 | |||
| Value At Risk | (2.20) | |||
| Potential Upside | 2.33 |
Martifer SGPS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Martifer SGPS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Martifer SGPS's standard deviation. In reality, there are many statistical measures that can use Martifer SGPS historical prices to predict the future Martifer SGPS's volatility.| Risk Adjusted Performance | 0.0368 | |||
| Jensen Alpha | 0.0362 | |||
| Total Risk Alpha | (0.17) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.3726 |
Martifer SGPS SA Backtested Returns
Currently, Martifer SGPS SA is relatively risky. Martifer SGPS SA has Sharpe Ratio of 0.0322, which conveys that the firm had a 0.0322% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Martifer SGPS, which you can use to evaluate the volatility of the firm. Please verify Martifer SGPS's Risk Adjusted Performance of 0.0368, downside deviation of 1.32, and Mean Deviation of 1.03 to check out if the risk estimate we provide is consistent with the expected return of 0.0458%. Martifer SGPS has a performance score of 2 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.14, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Martifer SGPS's returns are expected to increase less than the market. However, during the bear market, the loss of holding Martifer SGPS is expected to be smaller as well. Martifer SGPS SA right now secures a risk of 1.43%. Please verify Martifer SGPS SA sortino ratio, potential upside, skewness, as well as the relationship between the maximum drawdown and semi variance , to decide if Martifer SGPS SA will be following its current price movements.
Auto-correlation | -0.35 |
Poor reverse predictability
Martifer SGPS SA has poor reverse predictability. Overlapping area represents the amount of predictability between Martifer SGPS 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 Martifer SGPS SA price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current Martifer SGPS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Martifer SGPS SA lagged returns against current returns
Autocorrelation, which is Martifer SGPS 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 Martifer SGPS's stock expected returns. We can calculate the autocorrelation of Martifer SGPS returns to help us make a trade decision. For example, suppose you find that Martifer SGPS 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 |
Martifer SGPS 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 Martifer SGPS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Martifer SGPS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Martifer SGPS stock over time.
Current vs Lagged Prices |
| Timeline |
Martifer SGPS Lagged Returns
When evaluating Martifer SGPS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Martifer SGPS stock have on its future price. Martifer SGPS 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, Martifer SGPS autocorrelation shows the relationship between Martifer SGPS stock current value and its past values and can show if there is a momentum factor associated with investing in Martifer SGPS SA.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Martifer Stock Analysis
When running Martifer SGPS's price analysis, check to measure Martifer SGPS'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 Martifer SGPS is operating at the current time. Most of Martifer SGPS's value examination focuses on studying past and present price action to predict the probability of Martifer SGPS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Martifer SGPS's price. Additionally, you may evaluate how the addition of Martifer SGPS to your portfolios can decrease your overall portfolio volatility.