STOMO MITSUI (Germany) Market Value
| XMF Stock | 22.51 0.41 1.86% |
| Symbol | STOMO |
STOMO MITSUI '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 STOMO MITSUI'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 STOMO MITSUI.
| 01/06/2023 |
| 12/26/2024 |
If you would invest 0.00 in STOMO MITSUI on January 6, 2023 and sell it all today you would earn a total of 0.00 from holding STOMO MITSUI FINL or generate 0.0% return on investment in STOMO MITSUI over 720 days. STOMO MITSUI is related to or competes with Apple, Apple, Apple, Apple, Apple, Apple, and Microsoft. More
STOMO MITSUI 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 STOMO MITSUI'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 STOMO MITSUI FINL upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.37 | |||
| Information Ratio | 0.0862 | |||
| Maximum Drawdown | 13.14 | |||
| Value At Risk | (3.28) | |||
| Potential Upside | 4.71 |
STOMO MITSUI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for STOMO MITSUI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as STOMO MITSUI's standard deviation. In reality, there are many statistical measures that can use STOMO MITSUI historical prices to predict the future STOMO MITSUI's volatility.| Risk Adjusted Performance | 0.0901 | |||
| Jensen Alpha | 0.2109 | |||
| Total Risk Alpha | 0.1403 | |||
| Sortino Ratio | 0.0899 | |||
| Treynor Ratio | 0.2341 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of STOMO MITSUI's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
STOMO MITSUI FINL Backtested Returns
STOMO MITSUI appears to be very steady, given 3 months investment horizon. STOMO MITSUI FINL owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.18, which indicates the firm had a 0.18% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for STOMO MITSUI FINL, which you can use to evaluate the volatility of the company. Please review STOMO MITSUI's risk adjusted performance of 0.0901, and Coefficient Of Variation of 959.03 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, STOMO MITSUI holds a performance score of 14. The entity has a beta of 1.06, which indicates a somewhat significant risk relative to the market. STOMO MITSUI returns are very sensitive to returns on the market. As the market goes up or down, STOMO MITSUI is expected to follow. Please check STOMO MITSUI's expected short fall, and the relationship between the value at risk and rate of daily change , to make a quick decision on whether STOMO MITSUI's existing price patterns will revert.
Auto-correlation | 0.43 |
Average predictability
STOMO MITSUI FINL has average predictability. Overlapping area represents the amount of predictability between STOMO MITSUI time series from 6th of January 2023 to 1st of January 2024 and 1st of January 2024 to 26th 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 STOMO MITSUI FINL price movement. The serial correlation of 0.43 indicates that just about 43.0% of current STOMO MITSUI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.43 | |
| Spearman Rank Test | 0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 4.88 |
STOMO MITSUI FINL lagged returns against current returns
Autocorrelation, which is STOMO MITSUI 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 STOMO MITSUI's stock expected returns. We can calculate the autocorrelation of STOMO MITSUI returns to help us make a trade decision. For example, suppose you find that STOMO MITSUI 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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STOMO MITSUI 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 STOMO MITSUI stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if STOMO MITSUI stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in STOMO MITSUI stock over time.
Current vs Lagged Prices |
| Timeline |
STOMO MITSUI Lagged Returns
When evaluating STOMO MITSUI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of STOMO MITSUI stock have on its future price. STOMO MITSUI 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, STOMO MITSUI autocorrelation shows the relationship between STOMO MITSUI stock current value and its past values and can show if there is a momentum factor associated with investing in STOMO MITSUI FINL.
Regressed Prices |
| Timeline |
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Additional Tools for STOMO Stock Analysis
When running STOMO MITSUI's price analysis, check to measure STOMO MITSUI's 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 STOMO MITSUI is operating at the current time. Most of STOMO MITSUI's value examination focuses on studying past and present price action to predict the probability of STOMO MITSUI's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move STOMO MITSUI's price. Additionally, you may evaluate how the addition of STOMO MITSUI to your portfolios can decrease your overall portfolio volatility.