Münchener Rück (Germany) Market Value
| MUV2 Stock | EUR 493.90 2.70 0.55% |
| Symbol | Münchener |
Münchener Rück '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 Münchener Rück'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 Münchener Rück.
| 05/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in Münchener Rück on May 6, 2024 and sell it all today you would earn a total of 0.00 from holding Mnchener Rck AG or generate 0.0% return on investment in Münchener Rück over 210 days. Münchener Rück is related to or competes with USWE SPORTS, SCIENCE IN, Check Point, NTG Nordic, and AXWAY SOFTWARE. Mnchener Rckversicherungs-Gesellschaft Aktiengesellschaft in Mnchen engages in the insurance and reinsurance businesses ... More
Münchener Rück 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 Münchener Rück'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 Mnchener Rck AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.43 | |||
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 6.03 | |||
| Value At Risk | (2.52) | |||
| Potential Upside | 1.66 |
Münchener Rück Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Münchener Rück's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Münchener Rück's standard deviation. In reality, there are many statistical measures that can use Münchener Rück historical prices to predict the future Münchener Rück's volatility.| Risk Adjusted Performance | 0.017 | |||
| Jensen Alpha | 0.004 | |||
| Total Risk Alpha | (0.19) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.1995 |
Mnchener Rck AG Backtested Returns
At this point, Münchener Rück is very steady. Mnchener Rck AG has Sharpe Ratio of 0.0031, which conveys that the firm had a 0.0031% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Münchener Rück, which you can use to evaluate the volatility of the firm. Please verify Münchener Rück's Downside Deviation of 1.43, mean deviation of 0.8568, and Risk Adjusted Performance of 0.017 to check out if the risk estimate we provide is consistent with the expected return of 0.0038%. The company secures a Beta (Market Risk) of 0.0554, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Münchener Rück's returns are expected to increase less than the market. However, during the bear market, the loss of holding Münchener Rück is expected to be smaller as well. Mnchener Rck AG right now secures a risk of 1.21%. Please verify Mnchener Rck AG coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Mnchener Rck AG will be following its current price movements.
Auto-correlation | 0.30 |
Below average predictability
Mnchener Rck AG has below average predictability. Overlapping area represents the amount of predictability between Münchener Rück time series from 6th of May 2024 to 19th of August 2024 and 19th of August 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 Mnchener Rck AG price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current Münchener Rück price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.3 | |
| Spearman Rank Test | 0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 123.39 |
Mnchener Rck AG lagged returns against current returns
Autocorrelation, which is Münchener Rück 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 Münchener Rück's stock expected returns. We can calculate the autocorrelation of Münchener Rück returns to help us make a trade decision. For example, suppose you find that Münchener Rück 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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Münchener Rück 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 Münchener Rück stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Münchener Rück stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Münchener Rück stock over time.
Current vs Lagged Prices |
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Münchener Rück Lagged Returns
When evaluating Münchener Rück's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Münchener Rück stock have on its future price. Münchener Rück 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, Münchener Rück autocorrelation shows the relationship between Münchener Rück stock current value and its past values and can show if there is a momentum factor associated with investing in Mnchener Rck AG.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Münchener Stock
Münchener Rück financial ratios help investors to determine whether Münchener 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 Münchener with respect to the benefits of owning Münchener Rück security.