Medicofarma Biotech (Poland) Market Value
| MDB Stock | 0.38 0.01 2.70% |
| Symbol | Medicofarma |
Medicofarma Biotech '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 Medicofarma Biotech'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 Medicofarma Biotech.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Medicofarma Biotech on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Medicofarma Biotech SA or generate 0.0% return on investment in Medicofarma Biotech over 30 days. Medicofarma Biotech is related to or competes with Clean Carbon, ADX, Agroliga Group, and Vee SA. More
Medicofarma Biotech 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 Medicofarma Biotech'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 Medicofarma Biotech SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 30.45 | |||
| Value At Risk | (7.02) | |||
| Potential Upside | 7.69 |
Medicofarma Biotech Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Medicofarma Biotech's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Medicofarma Biotech's standard deviation. In reality, there are many statistical measures that can use Medicofarma Biotech historical prices to predict the future Medicofarma Biotech's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.38) | |||
| Total Risk Alpha | (1.16) | |||
| Treynor Ratio | 0.8192 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Medicofarma Biotech'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.
Medicofarma Biotech Backtested Returns
Medicofarma Biotech has Sharpe Ratio of -0.13, which conveys that the firm had a -0.13% return per unit of risk over the last 3 months. Medicofarma Biotech exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Medicofarma Biotech's Risk Adjusted Performance of (0.07), mean deviation of 2.6, and Standard Deviation of 4.27 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.55, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Medicofarma Biotech are expected to decrease at a much lower rate. During the bear market, Medicofarma Biotech is likely to outperform the market. At this point, Medicofarma Biotech has a negative expected return of -0.55%. Please make sure to verify Medicofarma Biotech's total risk alpha and the relationship between the potential upside and market facilitation index , to decide if Medicofarma Biotech performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.04 |
Virtually no predictability
Medicofarma Biotech SA has virtually no predictability. Overlapping area represents the amount of predictability between Medicofarma Biotech time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 Medicofarma Biotech price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current Medicofarma Biotech price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Medicofarma Biotech lagged returns against current returns
Autocorrelation, which is Medicofarma Biotech 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 Medicofarma Biotech's stock expected returns. We can calculate the autocorrelation of Medicofarma Biotech returns to help us make a trade decision. For example, suppose you find that Medicofarma Biotech 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 |
Medicofarma Biotech 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 Medicofarma Biotech stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Medicofarma Biotech stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Medicofarma Biotech stock over time.
Current vs Lagged Prices |
| Timeline |
Medicofarma Biotech Lagged Returns
When evaluating Medicofarma Biotech's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Medicofarma Biotech stock have on its future price. Medicofarma Biotech 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, Medicofarma Biotech autocorrelation shows the relationship between Medicofarma Biotech stock current value and its past values and can show if there is a momentum factor associated with investing in Medicofarma Biotech SA.
Regressed Prices |
| Timeline |
Pair Trading with Medicofarma Biotech
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 Medicofarma Biotech 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 Medicofarma Biotech will appreciate offsetting losses from the drop in the long position's value.Moving together with Medicofarma Stock
Moving against Medicofarma Stock
The ability to find closely correlated positions to Medicofarma Biotech could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Medicofarma Biotech 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 Medicofarma Biotech - 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 Medicofarma Biotech SA to buy it.
The correlation of Medicofarma Biotech 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 Medicofarma Biotech moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Medicofarma Biotech 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 Medicofarma Biotech 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 Medicofarma Stock Analysis
When running Medicofarma Biotech's price analysis, check to measure Medicofarma Biotech'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 Medicofarma Biotech is operating at the current time. Most of Medicofarma Biotech's value examination focuses on studying past and present price action to predict the probability of Medicofarma Biotech's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Medicofarma Biotech's price. Additionally, you may evaluate how the addition of Medicofarma Biotech to your portfolios can decrease your overall portfolio volatility.