Maxcom SA (Poland) Market Value
| MXC Stock | 8.34 0.02 0.24% |
| Symbol | Maxcom |
Maxcom SA '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 Maxcom SA'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 Maxcom SA.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in Maxcom SA on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding Maxcom SA or generate 0.0% return on investment in Maxcom SA over 180 days.
Maxcom SA 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 Maxcom SA'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 Maxcom SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.28) | |||
| Maximum Drawdown | 7.8 | |||
| Value At Risk | (3.79) | |||
| Potential Upside | 2.09 |
Maxcom SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Maxcom SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Maxcom SA's standard deviation. In reality, there are many statistical measures that can use Maxcom SA historical prices to predict the future Maxcom SA's volatility.| Risk Adjusted Performance | (0.15) | |||
| Jensen Alpha | (0.32) | |||
| Total Risk Alpha | (0.63) | |||
| Treynor Ratio | 1.27 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Maxcom SA'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.
Maxcom SA Backtested Returns
Maxcom SA has Sharpe Ratio of -0.17, which conveys that the firm had a -0.17% return per unit of risk over the last 3 months. Maxcom SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Maxcom SA's Mean Deviation of 1.18, risk adjusted performance of (0.15), and Standard Deviation of 1.68 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.28, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Maxcom SA are expected to decrease at a much lower rate. During the bear market, Maxcom SA is likely to outperform the market. At this point, Maxcom SA has a negative expected return of -0.28%. Please make sure to verify Maxcom SA's potential upside, daily balance of power, as well as the relationship between the Daily Balance Of Power and market facilitation index , to decide if Maxcom SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.51 |
Modest predictability
Maxcom SA has modest predictability. Overlapping area represents the amount of predictability between Maxcom SA time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 2024 to 30th of November 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 Maxcom SA price movement. The serial correlation of 0.51 indicates that about 51.0% of current Maxcom SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.51 | |
| Spearman Rank Test | 0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 0.19 |
Maxcom SA lagged returns against current returns
Autocorrelation, which is Maxcom SA 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 Maxcom SA's stock expected returns. We can calculate the autocorrelation of Maxcom SA returns to help us make a trade decision. For example, suppose you find that Maxcom SA 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 |
Maxcom SA 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 Maxcom SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Maxcom SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Maxcom SA stock over time.
Current vs Lagged Prices |
| Timeline |
Maxcom SA Lagged Returns
When evaluating Maxcom SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Maxcom SA stock have on its future price. Maxcom SA 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, Maxcom SA autocorrelation shows the relationship between Maxcom SA stock current value and its past values and can show if there is a momentum factor associated with investing in Maxcom SA.
Regressed Prices |
| Timeline |
Pair Trading with Maxcom SA
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 Maxcom SA 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 Maxcom SA will appreciate offsetting losses from the drop in the long position's value.Moving together with Maxcom Stock
Moving against Maxcom Stock
| 0.71 | DNP | Dino Polska SA | PairCorr |
| 0.65 | CEZ | CEZ as | PairCorr |
| 0.55 | UCG | UniCredit SpA | PairCorr |
| 0.38 | SAN | Banco Santander SA | PairCorr |
The ability to find closely correlated positions to Maxcom SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Maxcom SA 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 Maxcom SA - 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 Maxcom SA to buy it.
The correlation of Maxcom SA 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 Maxcom SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Maxcom 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 Maxcom SA 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.Additional Tools for Maxcom Stock Analysis
When running Maxcom SA's price analysis, check to measure Maxcom SA'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 Maxcom SA is operating at the current time. Most of Maxcom SA's value examination focuses on studying past and present price action to predict the probability of Maxcom SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Maxcom SA's price. Additionally, you may evaluate how the addition of Maxcom SA to your portfolios can decrease your overall portfolio volatility.