Mytilineos (Greece) Market Value
| MYTIL Stock | EUR 36.70 0.08 0.22% |
| Symbol | Mytilineos |
Mytilineos '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 Mytilineos' 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 Mytilineos.
| 05/05/2024 |
| 06/04/2024 |
If you would invest 0.00 in Mytilineos on May 5, 2024 and sell it all today you would earn a total of 0.00 from holding Mytilineos SA or generate 0.0% return on investment in Mytilineos over 30 days. Mytilineos is related to or competes with Viohalco, Mermeren Kombinat, National Bank, Lampsa Hellenic, Elvalhalcor Hellenic, and Eurobank Ergasias. Mytilineos Holdings S.A., through its subsidiaries, engages in metallurgy, engineering, procurement, construction, and e... More
Mytilineos 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 Mytilineos' 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 Mytilineos SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 9.01 | |||
| Value At Risk | (2.74) | |||
| Potential Upside | 2.54 |
Mytilineos Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mytilineos' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mytilineos' standard deviation. In reality, there are many statistical measures that can use Mytilineos historical prices to predict the future Mytilineos' volatility.| Risk Adjusted Performance | 0.0019 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.08) | |||
| Treynor Ratio | 0.0889 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mytilineos' 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.
Mytilineos SA Backtested Returns
We consider Mytilineos very steady. Mytilineos SA has Sharpe Ratio of 0.0293, which conveys that the firm had a 0.0293% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for Mytilineos, which you can use to evaluate the volatility of the firm. Please verify Mytilineos' Standard Deviation of 1.53, risk adjusted performance of 0.0019, and Mean Deviation of 1.07 to check out if the risk estimate we provide is consistent with the expected return of 0.0472%. Mytilineos has a performance score of 2 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.22, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Mytilineos are expected to decrease at a much lower rate. During the bear market, Mytilineos is likely to outperform the market. Mytilineos SA right now secures a risk of 1.61%. Please verify Mytilineos SA maximum drawdown, accumulation distribution, as well as the relationship between the Accumulation Distribution and price action indicator , to decide if Mytilineos SA will be following its current price movements.
Auto-correlation | 0.38 |
Below average predictability
Mytilineos SA has below average predictability. Overlapping area represents the amount of predictability between Mytilineos time series from 5th of May 2024 to 20th of May 2024 and 20th of May 2024 to 4th 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 Mytilineos SA price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Mytilineos price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.75 |
Mytilineos SA lagged returns against current returns
Autocorrelation, which is Mytilineos 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 Mytilineos' stock expected returns. We can calculate the autocorrelation of Mytilineos returns to help us make a trade decision. For example, suppose you find that Mytilineos 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 |
Mytilineos 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 Mytilineos stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mytilineos stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mytilineos stock over time.
Current vs Lagged Prices |
| Timeline |
Mytilineos Lagged Returns
When evaluating Mytilineos' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mytilineos stock have on its future price. Mytilineos 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, Mytilineos autocorrelation shows the relationship between Mytilineos stock current value and its past values and can show if there is a momentum factor associated with investing in Mytilineos SA.
Regressed Prices |
| Timeline |
Pair Trading with Mytilineos
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Mytilineos position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Mytilineos will appreciate offsetting losses from the drop in the long position's value.Moving together with Mytilineos Stock
Moving against Mytilineos Stock
The ability to find closely correlated positions to Mytilineos could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Mytilineos when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Mytilineos - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Mytilineos SA to buy it.
The correlation of Mytilineos is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Mytilineos moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Mytilineos SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Mytilineos can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Mytilineos Stock
Mytilineos financial ratios help investors to determine whether Mytilineos 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 Mytilineos with respect to the benefits of owning Mytilineos security.