Mo Bruk (Poland) Market Value
| MBR Stock | 345.00 3.00 0.86% |
| Symbol | MBR |
Mo Bruk '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 Mo Bruk'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 Mo Bruk.
| 12/09/2024 |
| 01/08/2025 |
If you would invest 0.00 in Mo Bruk on December 9, 2024 and sell it all today you would earn a total of 0.00 from holding Mo Bruk SA or generate 0.0% return on investment in Mo Bruk over 30 days.
Mo Bruk 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 Mo Bruk'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 Mo Bruk SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.48 | |||
| Information Ratio | 0.1144 | |||
| Maximum Drawdown | 17.81 | |||
| Value At Risk | (2.43) | |||
| Potential Upside | 2.64 |
Mo Bruk Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mo Bruk's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mo Bruk's standard deviation. In reality, there are many statistical measures that can use Mo Bruk historical prices to predict the future Mo Bruk's volatility.| Risk Adjusted Performance | 0.1019 | |||
| Jensen Alpha | 0.2659 | |||
| Total Risk Alpha | 0.2675 | |||
| Sortino Ratio | 0.1804 | |||
| Treynor Ratio | 4.9 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mo Bruk's 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.
Mo Bruk SA Backtested Returns
Mo Bruk appears to be very steady, given 3 months investment horizon. Mo Bruk SA retains Efficiency (Sharpe Ratio) of 0.0851, which conveys that the firm had a 0.0851% return per unit of price deviation over the last 3 months. We have found twenty-nine technical indicators for Mo Bruk, which you can use to evaluate the volatility of the firm. Please exercise Mo Bruk's Mean Deviation of 1.34, standard deviation of 2.33, and Market Risk Adjusted Performance of 4.91 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Mo Bruk holds a performance score of 6. The company owns a Beta (Systematic Risk) of 0.0543, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mo Bruk's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mo Bruk is expected to be smaller as well. Please check Mo Bruk's potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to make a quick decision on whether Mo Bruk's current price history will revert.
Auto-correlation | -0.87 |
Excellent reverse predictability
Mo Bruk SA has excellent reverse predictability. Overlapping area represents the amount of predictability between Mo Bruk time series from 9th of December 2024 to 24th of December 2024 and 24th of December 2024 to 8th of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Mo Bruk SA price movement. The serial correlation of -0.87 indicates that approximately 87.0% of current Mo Bruk price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.87 | |
| Spearman Rank Test | -0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 57.81 |
Mo Bruk SA lagged returns against current returns
Autocorrelation, which is Mo Bruk 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 Mo Bruk's stock expected returns. We can calculate the autocorrelation of Mo Bruk returns to help us make a trade decision. For example, suppose you find that Mo Bruk 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 |
Mo Bruk 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 Mo Bruk stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mo Bruk stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mo Bruk stock over time.
Current vs Lagged Prices |
| Timeline |
Mo Bruk Lagged Returns
When evaluating Mo Bruk's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mo Bruk stock have on its future price. Mo Bruk 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, Mo Bruk autocorrelation shows the relationship between Mo Bruk stock current value and its past values and can show if there is a momentum factor associated with investing in Mo Bruk SA.
Regressed Prices |
| Timeline |
Pair Trading with Mo Bruk
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Mo Bruk position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Mo Bruk will appreciate offsetting losses from the drop in the long position's value.Moving together with MBR Stock
Moving against MBR Stock
| 0.86 | ALE | Allegroeu SA | PairCorr |
| 0.72 | KGH | KGHM Polska Miedz | PairCorr |
| 0.5 | UCG | UniCredit SpA | PairCorr |
| 0.49 | PCO | Pepco Group BV | PairCorr |
| 0.44 | PEO | Bank Polska Kasa | PairCorr |
The ability to find closely correlated positions to Mo Bruk could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Mo Bruk when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Mo Bruk - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Mo Bruk SA to buy it.
The correlation of Mo Bruk is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Mo Bruk moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Mo Bruk SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Mo Bruk can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for MBR Stock Analysis
When running Mo Bruk's price analysis, check to measure Mo Bruk'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 Mo Bruk is operating at the current time. Most of Mo Bruk's value examination focuses on studying past and present price action to predict the probability of Mo Bruk's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Mo Bruk's price. Additionally, you may evaluate how the addition of Mo Bruk to your portfolios can decrease your overall portfolio volatility.