Marubeni Stock Market Value
| MARUF Stock | USD 18.81 0.16 0.84% |
| Symbol | Marubeni |
Marubeni '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 Marubeni's pink sheet 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 Marubeni.
| 03/09/2024 |
| 06/07/2024 |
If you would invest 0.00 in Marubeni on March 9, 2024 and sell it all today you would earn a total of 0.00 from holding Marubeni or generate 0.0% return on investment in Marubeni over 90 days. Marubeni is related to or competes with Windrock Land, and 3M. Marubeni Corporation engages in various business activities worldwide More
Marubeni 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 Marubeni's pink sheet 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 Marubeni upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.11 | |||
| Information Ratio | 0.0945 | |||
| Maximum Drawdown | 9.85 | |||
| Value At Risk | (2.95) | |||
| Potential Upside | 3.12 |
Marubeni Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Marubeni's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Marubeni's standard deviation. In reality, there are many statistical measures that can use Marubeni historical prices to predict the future Marubeni's volatility.| Risk Adjusted Performance | 0.0772 | |||
| Jensen Alpha | 0.19 | |||
| Total Risk Alpha | 0.133 | |||
| Sortino Ratio | 0.0897 | |||
| Treynor Ratio | 0.2203 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Marubeni'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.
Marubeni Backtested Returns
Marubeni appears to be very steady, given 3 months investment horizon. Marubeni has Sharpe Ratio of 0.15, which conveys that the firm had a 0.15% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Marubeni, which you can use to evaluate the volatility of the firm. Please exercise Marubeni's Risk Adjusted Performance of 0.0772, mean deviation of 1.62, and Downside Deviation of 2.11 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Marubeni holds a performance score of 11. The company secures a Beta (Market Risk) of 0.98, which conveys possible diversification benefits within a given portfolio. Marubeni returns are very sensitive to returns on the market. As the market goes up or down, Marubeni is expected to follow. Please check Marubeni's value at risk, as well as the relationship between the skewness and day median price , to make a quick decision on whether Marubeni's current price movements will revert.
Auto-correlation | 0.85 |
Very good predictability
Marubeni has very good predictability. Overlapping area represents the amount of predictability between Marubeni time series from 9th of March 2024 to 23rd of April 2024 and 23rd of April 2024 to 7th of June 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 Marubeni price movement. The serial correlation of 0.85 indicates that around 85.0% of current Marubeni price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.85 | |
| Spearman Rank Test | 0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 0.82 |
Marubeni lagged returns against current returns
Autocorrelation, which is Marubeni pink sheet'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 Marubeni's pink sheet expected returns. We can calculate the autocorrelation of Marubeni returns to help us make a trade decision. For example, suppose you find that Marubeni has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Marubeni 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 Marubeni pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Marubeni pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Marubeni pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Marubeni Lagged Returns
When evaluating Marubeni's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Marubeni pink sheet have on its future price. Marubeni 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, Marubeni autocorrelation shows the relationship between Marubeni pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Marubeni.
Regressed Prices |
| Timeline |
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Other Information on Investing in Marubeni Pink Sheet
Marubeni financial ratios help investors to determine whether Marubeni Pink Sheet 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 Marubeni with respect to the benefits of owning Marubeni security.