Mitie Group (Germany) Market Value
| MTO Stock | EUR 1,156 33.00 2.94% |
| Symbol | Mitie |
Mitie Group '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 Mitie Group'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 Mitie Group.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Mitie Group on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Mitie Group PLC or generate 0.0% return on investment in Mitie Group over 30 days. Mitie Group is related to or competes with Fukuyama Transporting, Broadwind, Solstad Offshore, and GAGE ROADS. Mettler-Toledo International Inc. manufactures and supplies precision instruments and services worldwide More
Mitie Group 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 Mitie Group'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 Mitie Group PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.71 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 6.5 | |||
| Value At Risk | (2.82) | |||
| Potential Upside | 2.68 |
Mitie Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mitie Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mitie Group's standard deviation. In reality, there are many statistical measures that can use Mitie Group historical prices to predict the future Mitie Group's volatility.| Risk Adjusted Performance | 0.0305 | |||
| Jensen Alpha | 0.0844 | |||
| Total Risk Alpha | (0.17) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | (0.14) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mitie Group'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.
Mitie Group PLC Backtested Returns
We consider Mitie Group very steady. Mitie Group PLC has Sharpe Ratio of 0.0537, which conveys that the firm had a 0.0537% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Mitie Group, which you can use to evaluate the volatility of the firm. Please verify Mitie Group's Risk Adjusted Performance of 0.0305, mean deviation of 1.29, and Downside Deviation of 1.71 to check out if the risk estimate we provide is consistent with the expected return of 0.0863%. Mitie Group has a performance score of 4 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.37, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Mitie Group are expected to decrease at a much lower rate. During the bear market, Mitie Group is likely to outperform the market. Mitie Group PLC right now secures a risk of 1.61%. Please verify Mitie Group PLC downside variance, kurtosis, and the relationship between the value at risk and expected short fall , to decide if Mitie Group PLC will be following its current price movements.
Auto-correlation | 0.56 |
Modest predictability
Mitie Group PLC has modest predictability. Overlapping area represents the amount of predictability between Mitie Group time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th of April 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 Mitie Group PLC price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current Mitie Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 1916.1 |
Mitie Group PLC lagged returns against current returns
Autocorrelation, which is Mitie Group 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 Mitie Group's stock expected returns. We can calculate the autocorrelation of Mitie Group returns to help us make a trade decision. For example, suppose you find that Mitie Group 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 |
Mitie Group 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 Mitie Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mitie Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mitie Group stock over time.
Current vs Lagged Prices |
| Timeline |
Mitie Group Lagged Returns
When evaluating Mitie Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mitie Group stock have on its future price. Mitie Group 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, Mitie Group autocorrelation shows the relationship between Mitie Group stock current value and its past values and can show if there is a momentum factor associated with investing in Mitie Group PLC.
Regressed Prices |
| Timeline |
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Complementary Tools for Mitie Stock analysis
When running Mitie Group's price analysis, check to measure Mitie Group'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 Mitie Group is operating at the current time. Most of Mitie Group's value examination focuses on studying past and present price action to predict the probability of Mitie Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Mitie Group's price. Additionally, you may evaluate how the addition of Mitie Group to your portfolios can decrease your overall portfolio volatility.
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Mitie Group technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.