Martinrea International Stock Market Value
| MRE Stock | CAD 10.29 0.13 1.28% |
| Symbol | Martinrea |
Martinrea International Price To Book Ratio
Martinrea International '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 Martinrea International'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 Martinrea International.
| 12/08/2023 |
| 12/02/2024 |
If you would invest 0.00 in Martinrea International on December 8, 2023 and sell it all today you would earn a total of 0.00 from holding Martinrea International or generate 0.0% return on investment in Martinrea International over 360 days. Martinrea International is related to or competes with Linamar, Aecon, NFI, and Element Fleet. Martinrea International Inc. designs, develops, manufactures, and sells metal parts, assemblies and modules, fluid manag... More
Martinrea International 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 Martinrea International'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 Martinrea International upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 14.79 | |||
| Value At Risk | (3.29) | |||
| Potential Upside | 2.62 |
Martinrea International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Martinrea International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Martinrea International's standard deviation. In reality, there are many statistical measures that can use Martinrea International historical prices to predict the future Martinrea International's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | (0.50) | |||
| Treynor Ratio | (0.19) |
Martinrea International Backtested Returns
Martinrea International has Sharpe Ratio of -0.0513, which conveys that the firm had a -0.0513% return per unit of risk over the last 3 months. Martinrea International exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Martinrea International's Mean Deviation of 1.51, risk adjusted performance of (0.03), and Standard Deviation of 2.24 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.68, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Martinrea International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Martinrea International is expected to be smaller as well. At this point, Martinrea International has a negative expected return of -0.11%. Please make sure to verify Martinrea International's skewness, as well as the relationship between the rate of daily change and period momentum indicator , to decide if Martinrea International performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.07 |
Virtually no predictability
Martinrea International has virtually no predictability. Overlapping area represents the amount of predictability between Martinrea International time series from 8th of December 2023 to 5th of June 2024 and 5th of June 2024 to 2nd 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 Martinrea International price movement. The serial correlation of 0.07 indicates that barely 7.0% of current Martinrea International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.07 | |
| Spearman Rank Test | 0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 0.3 |
Martinrea International lagged returns against current returns
Autocorrelation, which is Martinrea International 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 Martinrea International's stock expected returns. We can calculate the autocorrelation of Martinrea International returns to help us make a trade decision. For example, suppose you find that Martinrea International 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 |
Martinrea International 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 Martinrea International stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Martinrea International stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Martinrea International stock over time.
Current vs Lagged Prices |
| Timeline |
Martinrea International Lagged Returns
When evaluating Martinrea International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Martinrea International stock have on its future price. Martinrea International 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, Martinrea International autocorrelation shows the relationship between Martinrea International stock current value and its past values and can show if there is a momentum factor associated with investing in Martinrea International.
Regressed Prices |
| Timeline |
Pair Trading with Martinrea International
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 Martinrea International 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 Martinrea International will appreciate offsetting losses from the drop in the long position's value.Moving together with Martinrea Stock
Moving against Martinrea Stock
| 0.78 | FFN | North American Financial | PairCorr |
| 0.59 | LFE | Canadian Life Companies | PairCorr |
| 0.57 | WINS | Winshear Gold Corp | PairCorr |
| 0.56 | DFN | Dividend 15 Split | PairCorr |
| 0.38 | WCM-A | Wilmington Capital | PairCorr |
The ability to find closely correlated positions to Martinrea International could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Martinrea International 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 Martinrea International - 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 Martinrea International to buy it.
The correlation of Martinrea International 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 Martinrea International moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Martinrea International 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 Martinrea International 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.Other Information on Investing in Martinrea Stock
Martinrea International financial ratios help investors to determine whether Martinrea 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 Martinrea with respect to the benefits of owning Martinrea International security.