Millat Tractors (Pakistan) Market Value
| MTL Stock | 624.44 1.53 0.25% |
| Symbol | Millat |
Millat Tractors '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 Millat Tractors' 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 Millat Tractors.
| 01/05/2023 |
| 12/25/2024 |
If you would invest 0.00 in Millat Tractors on January 5, 2023 and sell it all today you would earn a total of 0.00 from holding Millat Tractors or generate 0.0% return on investment in Millat Tractors over 720 days. Millat Tractors is related to or competes with Habib Bank, National Bank, United Bank, MCB Bank, Allied Bank, Meezan Bank, and Bank Al. More
Millat Tractors 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 Millat Tractors' 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 Millat Tractors upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.26 | |||
| Information Ratio | 0.0971 | |||
| Maximum Drawdown | 9.26 | |||
| Value At Risk | (2.18) | |||
| Potential Upside | 2.9 |
Millat Tractors Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Millat Tractors' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Millat Tractors' standard deviation. In reality, there are many statistical measures that can use Millat Tractors historical prices to predict the future Millat Tractors' volatility.| Risk Adjusted Performance | 0.1034 | |||
| Jensen Alpha | 0.204 | |||
| Total Risk Alpha | 0.1297 | |||
| Sortino Ratio | 0.1365 | |||
| Treynor Ratio | 2.85 |
Millat Tractors Backtested Returns
Millat Tractors appears to be very steady, given 3 months investment horizon. Millat Tractors has Sharpe Ratio of 0.12, which conveys that the firm had a 0.12% return per unit of risk over the last 3 months. We have found thirty technical indicators for Millat Tractors, which you can use to evaluate the volatility of the firm. Please exercise Millat Tractors' Mean Deviation of 1.32, risk adjusted performance of 0.1034, and Downside Deviation of 1.26 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Millat Tractors holds a performance score of 9. The company secures a Beta (Market Risk) of 0.0725, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Millat Tractors' returns are expected to increase less than the market. However, during the bear market, the loss of holding Millat Tractors is expected to be smaller as well. Please check Millat Tractors' jensen alpha, maximum drawdown, semi variance, as well as the relationship between the sortino ratio and potential upside , to make a quick decision on whether Millat Tractors' current price movements will revert.
Auto-correlation | 0.19 |
Very weak predictability
Millat Tractors has very weak predictability. Overlapping area represents the amount of predictability between Millat Tractors time series from 5th of January 2023 to 31st of December 2023 and 31st of December 2023 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 Millat Tractors price movement. The serial correlation of 0.19 indicates that over 19.0% of current Millat Tractors price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.19 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 1419.47 |
Millat Tractors lagged returns against current returns
Autocorrelation, which is Millat Tractors 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 Millat Tractors' stock expected returns. We can calculate the autocorrelation of Millat Tractors returns to help us make a trade decision. For example, suppose you find that Millat Tractors 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 |
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Millat Tractors 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 Millat Tractors stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Millat Tractors stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Millat Tractors stock over time.
Current vs Lagged Prices |
| Timeline |
Millat Tractors Lagged Returns
When evaluating Millat Tractors' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Millat Tractors stock have on its future price. Millat Tractors 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, Millat Tractors autocorrelation shows the relationship between Millat Tractors stock current value and its past values and can show if there is a momentum factor associated with investing in Millat Tractors.
Regressed Prices |
| Timeline |
Pair Trading with Millat Tractors
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 Millat Tractors 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 Millat Tractors will appreciate offsetting losses from the drop in the long position's value.Moving together with Millat Stock
| 0.79 | OGDC | Oil and Gas | PairCorr |
| 0.66 | PSO | Pakistan State Oil | PairCorr |
| 0.85 | PPL | Pakistan Petroleum | PairCorr |
| 0.84 | FFC | Fauji Fertilizer | PairCorr |
| 0.74 | HBL | Habib Bank | PairCorr |
The ability to find closely correlated positions to Millat Tractors could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Millat Tractors 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 Millat Tractors - 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 Millat Tractors to buy it.
The correlation of Millat Tractors 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 Millat Tractors moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Millat Tractors 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 Millat Tractors 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 Millat Stock Analysis
When running Millat Tractors' price analysis, check to measure Millat Tractors' 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 Millat Tractors is operating at the current time. Most of Millat Tractors' value examination focuses on studying past and present price action to predict the probability of Millat Tractors' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Millat Tractors' price. Additionally, you may evaluate how the addition of Millat Tractors to your portfolios can decrease your overall portfolio volatility.