MTR (Germany) Market Value
| MRI Stock | EUR 3.28 0.04 1.20% |
| Symbol | MTR |
MTR '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 MTR'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 MTR.
| 11/22/2024 |
| 12/22/2024 |
If you would invest 0.00 in MTR on November 22, 2024 and sell it all today you would earn a total of 0.00 from holding MTR Limited or generate 0.0% return on investment in MTR over 30 days. MTR is related to or competes with Union Pacific, Canadian National, CSX, Norfolk Southern, CRRC, and Central Japan. MTR Corporation Limited designs, constructs, operates, maintains, and invests in railways in Hong Kong, Australia, Mainl... More
MTR 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 MTR'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 MTR Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.63 | |||
| Information Ratio | 0.036 | |||
| Maximum Drawdown | 8.37 | |||
| Value At Risk | (1.81) | |||
| Potential Upside | 3.11 |
MTR Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MTR's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MTR's standard deviation. In reality, there are many statistical measures that can use MTR historical prices to predict the future MTR's volatility.| Risk Adjusted Performance | 0.0501 | |||
| Jensen Alpha | 0.0738 | |||
| Total Risk Alpha | 0.0345 | |||
| Sortino Ratio | 0.0339 | |||
| Treynor Ratio | 0.5045 |
MTR Limited Backtested Returns
At this point, MTR is slightly risky. MTR Limited has Sharpe Ratio of 0.0689, which conveys that the firm had a 0.0689% return per unit of volatility over the last 3 months. We have found twenty-eight technical indicators for MTR, which you can use to evaluate the volatility of the firm. Please verify MTR's risk adjusted performance of 0.0501, and Mean Deviation of 1.09 to check out if the risk estimate we provide is consistent with the expected return of 0.11%. MTR has a performance score of 5 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.15, which conveys not very significant fluctuations relative to the market. As returns on the market increase, MTR's returns are expected to increase less than the market. However, during the bear market, the loss of holding MTR is expected to be smaller as well. MTR Limited presently secures a risk of 1.53%. Please verify MTR Limited sortino ratio, potential upside, skewness, as well as the relationship between the maximum drawdown and semi variance , to decide if MTR Limited will be following its current price movements.
Auto-correlation | 0.39 |
Below average predictability
MTR Limited has below average predictability. Overlapping area represents the amount of predictability between MTR time series from 22nd of November 2024 to 7th of December 2024 and 7th of December 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 MTR Limited price movement. The serial correlation of 0.39 indicates that just about 39.0% of current MTR price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | -0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
MTR Limited lagged returns against current returns
Autocorrelation, which is MTR 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 MTR's stock expected returns. We can calculate the autocorrelation of MTR returns to help us make a trade decision. For example, suppose you find that MTR 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 |
MTR 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 MTR stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MTR stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MTR stock over time.
Current vs Lagged Prices |
| Timeline |
MTR Lagged Returns
When evaluating MTR's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MTR stock have on its future price. MTR 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, MTR autocorrelation shows the relationship between MTR stock current value and its past values and can show if there is a momentum factor associated with investing in MTR Limited.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in MTR Stock
MTR financial ratios help investors to determine whether MTR 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 MTR with respect to the benefits of owning MTR security.