MCB GROUP (Mauritius) Market Value
| MCBG Stock | 443.25 0.75 0.17% |
| Symbol | MCB |
MCB GROUP '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 MCB GROUP'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 MCB GROUP.
| 10/02/2023 |
| 12/25/2024 |
If you would invest 0.00 in MCB GROUP on October 2, 2023 and sell it all today you would earn a total of 0.00 from holding MCB GROUP LIMITED or generate 0.0% return on investment in MCB GROUP over 450 days.
MCB GROUP 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 MCB GROUP'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 MCB GROUP LIMITED upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.06 | |||
| Information Ratio | 0.0049 | |||
| Maximum Drawdown | 6.19 | |||
| Value At Risk | (1.36) | |||
| Potential Upside | 1.11 |
MCB GROUP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MCB GROUP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MCB GROUP's standard deviation. In reality, there are many statistical measures that can use MCB GROUP historical prices to predict the future MCB GROUP's volatility.| Risk Adjusted Performance | 0.0446 | |||
| Jensen Alpha | 0.0379 | |||
| Total Risk Alpha | (0.0002) | |||
| Sortino Ratio | 0.0042 | |||
| Treynor Ratio | 1.06 |
MCB GROUP LIMITED Backtested Returns
MCB GROUP LIMITED retains Efficiency (Sharpe Ratio) of -0.0244, which conveys that the company had a -0.0244% return per unit of return volatility over the last 3 months. MCB GROUP exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify MCB GROUP's Mean Deviation of 0.5178, market risk adjusted performance of 1.07, and Downside Deviation of 1.06 to check out the risk estimate we provide. The firm owns a Beta (Systematic Risk) of 0.037, which conveys not very significant fluctuations relative to the market. As returns on the market increase, MCB GROUP's returns are expected to increase less than the market. However, during the bear market, the loss of holding MCB GROUP is expected to be smaller as well. At this point, MCB GROUP LIMITED has a negative expected return of -0.0202%. Please make sure to verify MCB GROUP's mean deviation, downside deviation, standard deviation, as well as the relationship between the semi deviation and coefficient of variation , to decide if MCB GROUP LIMITED performance from the past will be repeated in the future.
Auto-correlation | 0.71 |
Good predictability
MCB GROUP LIMITED has good predictability. Overlapping area represents the amount of predictability between MCB GROUP time series from 2nd of October 2023 to 14th of May 2024 and 14th of May 2024 to 25th 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 MCB GROUP LIMITED price movement. The serial correlation of 0.71 indicates that around 71.0% of current MCB GROUP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.71 | |
| Spearman Rank Test | 0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 866.63 |
MCB GROUP LIMITED lagged returns against current returns
Autocorrelation, which is MCB GROUP 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 MCB GROUP's stock expected returns. We can calculate the autocorrelation of MCB GROUP returns to help us make a trade decision. For example, suppose you find that MCB GROUP 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 |
MCB GROUP 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 MCB GROUP stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MCB GROUP stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MCB GROUP stock over time.
Current vs Lagged Prices |
| Timeline |
MCB GROUP Lagged Returns
When evaluating MCB GROUP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MCB GROUP stock have on its future price. MCB GROUP 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, MCB GROUP autocorrelation shows the relationship between MCB GROUP stock current value and its past values and can show if there is a momentum factor associated with investing in MCB GROUP LIMITED.
Regressed Prices |
| Timeline |
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