Maschinenfabrik Berthold (Germany) Market Value
MBH3 Stock | EUR 227.00 3.00 1.30% |
Symbol | Maschinenfabrik |
Maschinenfabrik Berthold '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 Maschinenfabrik Berthold'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 Maschinenfabrik Berthold.
09/30/2023 |
| 03/28/2024 |
If you would invest 0.00 in Maschinenfabrik Berthold on September 30, 2023 and sell it all today you would earn a total of 0.00 from holding Maschinenfabrik Berthold Hermle or generate 0.0% return on investment in Maschinenfabrik Berthold over 180 days. Maschinenfabrik Berthold is related to or competes with Canon Marketing, Lyxor 1, Superior Plus, SIVERS SEMICONDUCTORS, Identiv, and BANK HANDLOWY. Maschinenfabrik Berthold Hermle AG manufactures and sells milling machines worldwide More
Maschinenfabrik Berthold 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 Maschinenfabrik Berthold'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 Maschinenfabrik Berthold Hermle upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.77 | |||
Information Ratio | (0.01) | |||
Maximum Drawdown | 7.74 | |||
Value At Risk | (2.42) | |||
Potential Upside | 2.97 |
Maschinenfabrik Berthold Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Maschinenfabrik Berthold's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Maschinenfabrik Berthold's standard deviation. In reality, there are many statistical measures that can use Maschinenfabrik Berthold historical prices to predict the future Maschinenfabrik Berthold's volatility.Risk Adjusted Performance | 0.0407 | |||
Jensen Alpha | 0.1413 | |||
Total Risk Alpha | (0.31) | |||
Sortino Ratio | (0.01) | |||
Treynor Ratio | (0.32) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Maschinenfabrik Berthold'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.
Maschinenfabrik Berthold Backtested Returns
We consider Maschinenfabrik Berthold very steady. Maschinenfabrik Berthold has Sharpe Ratio of 0.0549, which conveys that the firm had a 0.0549% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Maschinenfabrik Berthold, which you can use to evaluate the volatility of the firm. Please verify Maschinenfabrik Berthold's Downside Deviation of 1.77, risk adjusted performance of 0.0407, and Mean Deviation of 1.26 to check out if the risk estimate we provide is consistent with the expected return of 0.1%. Maschinenfabrik Berthold has a performance score of 4 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.32, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Maschinenfabrik Berthold are expected to decrease at a much lower rate. During the bear market, Maschinenfabrik Berthold is likely to outperform the market. Maschinenfabrik Berthold right now secures a risk of 1.88%. Please verify Maschinenfabrik Berthold Hermle maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Maschinenfabrik Berthold Hermle will be following its current price movements.
Auto-correlation | 0.28 |
Poor predictability
Maschinenfabrik Berthold Hermle has poor predictability. Overlapping area represents the amount of predictability between Maschinenfabrik Berthold time series from 30th of September 2023 to 29th of December 2023 and 29th of December 2023 to 28th of March 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 Maschinenfabrik Berthold price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current Maschinenfabrik Berthold price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.28 | |
Spearman Rank Test | -0.11 | |
Residual Average | 0.0 | |
Price Variance | 67.3 |
Maschinenfabrik Berthold lagged returns against current returns
Autocorrelation, which is Maschinenfabrik Berthold 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 Maschinenfabrik Berthold's stock expected returns. We can calculate the autocorrelation of Maschinenfabrik Berthold returns to help us make a trade decision. For example, suppose you find that Maschinenfabrik Berthold 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 |
Maschinenfabrik Berthold 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 Maschinenfabrik Berthold stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Maschinenfabrik Berthold stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Maschinenfabrik Berthold stock over time.
Current vs Lagged Prices |
Timeline |
Maschinenfabrik Berthold Lagged Returns
When evaluating Maschinenfabrik Berthold's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Maschinenfabrik Berthold stock have on its future price. Maschinenfabrik Berthold 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, Maschinenfabrik Berthold autocorrelation shows the relationship between Maschinenfabrik Berthold stock current value and its past values and can show if there is a momentum factor associated with investing in Maschinenfabrik Berthold Hermle.
Regressed Prices |
Timeline |
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Complementary Tools for Maschinenfabrik Stock analysis
When running Maschinenfabrik Berthold's price analysis, check to measure Maschinenfabrik Berthold'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 Maschinenfabrik Berthold is operating at the current time. Most of Maschinenfabrik Berthold's value examination focuses on studying past and present price action to predict the probability of Maschinenfabrik Berthold's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Maschinenfabrik Berthold's price. Additionally, you may evaluate how the addition of Maschinenfabrik Berthold to your portfolios can decrease your overall portfolio volatility.
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Maschinenfabrik Berthold 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.