Moncler SpA (Germany) Market Value
| MOV Stock | EUR 50.16 0.33 0.66% |
| Symbol | Moncler |
Moncler SpA '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 Moncler SpA'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 Moncler SpA.
| 11/28/2023 |
| 12/22/2024 |
If you would invest 0.00 in Moncler SpA on November 28, 2023 and sell it all today you would earn a total of 0.00 from holding Moncler SpA or generate 0.0% return on investment in Moncler SpA over 390 days. Moncler SpA is related to or competes with HM HENMAUUNSPADR, H M, H M, VF, Ralph Lauren, and Levi Strauss. Moncler S.p.A. designs, produces, and distributes clothing and related accessories for men, women, and children under th... More
Moncler SpA 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 Moncler SpA'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 Moncler SpA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.78 | |||
| Information Ratio | 0.0266 | |||
| Maximum Drawdown | 14.69 | |||
| Value At Risk | (3.18) | |||
| Potential Upside | 3.27 |
Moncler SpA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Moncler SpA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Moncler SpA's standard deviation. In reality, there are many statistical measures that can use Moncler SpA historical prices to predict the future Moncler SpA's volatility.| Risk Adjusted Performance | 0.0385 | |||
| Jensen Alpha | 0.0765 | |||
| Total Risk Alpha | 0.0188 | |||
| Sortino Ratio | 0.035 | |||
| Treynor Ratio | 0.2389 |
Moncler SpA Backtested Returns
At this point, Moncler SpA is very steady. Moncler SpA has Sharpe Ratio of 0.0332, which conveys that the firm had a 0.0332% return per unit of risk over the last 3 months. We have found thirty technical indicators for Moncler SpA, which you can use to evaluate the volatility of the firm. Please verify Moncler SpA's Risk Adjusted Performance of 0.0385, downside deviation of 1.78, and Mean Deviation of 1.57 to check out if the risk estimate we provide is consistent with the expected return of 0.0776%. Moncler SpA has a performance score of 2 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.35, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Moncler SpA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Moncler SpA is expected to be smaller as well. Moncler SpA right now secures a risk of 2.34%. Please verify Moncler SpA value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to decide if Moncler SpA will be following its current price movements.
Auto-correlation | -0.59 |
Good reverse predictability
Moncler SpA has good reverse predictability. Overlapping area represents the amount of predictability between Moncler SpA time series from 28th of November 2023 to 10th of June 2024 and 10th of June 2024 to 22nd 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 Moncler SpA price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current Moncler SpA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.59 | |
| Spearman Rank Test | -0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 13.38 |
Moncler SpA lagged returns against current returns
Autocorrelation, which is Moncler SpA 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 Moncler SpA's stock expected returns. We can calculate the autocorrelation of Moncler SpA returns to help us make a trade decision. For example, suppose you find that Moncler SpA 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 |
Moncler SpA 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 Moncler SpA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Moncler SpA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Moncler SpA stock over time.
Current vs Lagged Prices |
| Timeline |
Moncler SpA Lagged Returns
When evaluating Moncler SpA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Moncler SpA stock have on its future price. Moncler SpA 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, Moncler SpA autocorrelation shows the relationship between Moncler SpA stock current value and its past values and can show if there is a momentum factor associated with investing in Moncler SpA.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Moncler Stock
Moncler SpA financial ratios help investors to determine whether Moncler Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Moncler with respect to the benefits of owning Moncler SpA security.