Marcopolo (Brazil) Market Value
| POMO4 Preferred Stock | BRL 6.96 0.13 1.83% |
| Symbol | Marcopolo |
Marcopolo '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 Marcopolo's preferred 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 Marcopolo.
| 02/03/2023 |
| 04/28/2024 |
If you would invest 0.00 in Marcopolo on February 3, 2023 and sell it all today you would earn a total of 0.00 from holding Marcopolo SA or generate 0.0% return on investment in Marcopolo over 450 days. Marcopolo is related to or competes with METISA Metalrgica, and Randon SA. Marcopolo S.A. manufactures and sells buses, automobiles, wagons, parts, and agricultural and industrial machinery in Br... More
Marcopolo 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 Marcopolo's preferred 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 Marcopolo SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.87 | |||
| Information Ratio | 0.0589 | |||
| Maximum Drawdown | 10.75 | |||
| Value At Risk | (2.32) | |||
| Potential Upside | 3.59 |
Marcopolo Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Marcopolo's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Marcopolo's standard deviation. In reality, there are many statistical measures that can use Marcopolo historical prices to predict the future Marcopolo's volatility.| Risk Adjusted Performance | 0.073 | |||
| Jensen Alpha | 0.1282 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.0592 | |||
| Treynor Ratio | 0.2429 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Marcopolo'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.
Marcopolo SA Backtested Returns
We consider Marcopolo somewhat reliable. Marcopolo SA has Sharpe Ratio of 0.0923, which conveys that the firm had a 0.0923% return per unit of risk over the last 3 months. We have found thirty technical indicators for Marcopolo, which you can use to evaluate the volatility of the firm. Please verify Marcopolo's Mean Deviation of 1.41, risk adjusted performance of 0.073, and Downside Deviation of 1.87 to check out if the risk estimate we provide is consistent with the expected return of 0.17%. Marcopolo has a performance score of 7 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.78, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Marcopolo's returns are expected to increase less than the market. However, during the bear market, the loss of holding Marcopolo is expected to be smaller as well. Marcopolo SA right now secures a risk of 1.81%. Please verify Marcopolo SA treynor ratio, downside variance, kurtosis, as well as the relationship between the value at risk and expected short fall , to decide if Marcopolo SA will be following its current price movements.
Auto-correlation | 0.95 |
Excellent predictability
Marcopolo SA has excellent predictability. Overlapping area represents the amount of predictability between Marcopolo time series from 3rd of February 2023 to 16th of September 2023 and 16th of September 2023 to 28th 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 Marcopolo SA price movement. The serial correlation of 0.95 indicates that approximately 95.0% of current Marcopolo price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.95 | |
| Spearman Rank Test | 0.92 | |
| Residual Average | 0.0 | |
| Price Variance | 1.24 |
Marcopolo SA lagged returns against current returns
Autocorrelation, which is Marcopolo preferred 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 Marcopolo's preferred stock expected returns. We can calculate the autocorrelation of Marcopolo returns to help us make a trade decision. For example, suppose you find that Marcopolo has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Marcopolo 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 Marcopolo preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Marcopolo preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Marcopolo preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Marcopolo Lagged Returns
When evaluating Marcopolo's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Marcopolo preferred stock have on its future price. Marcopolo 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, Marcopolo autocorrelation shows the relationship between Marcopolo preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Marcopolo SA.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Marcopolo in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Marcopolo's short interest history, or implied volatility extrapolated from Marcopolo options trading.
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Align your risk with return expectations
Check out Marcopolo Correlation, Marcopolo Volatility and Marcopolo Alpha and Beta module to complement your research on Marcopolo. Note that the Marcopolo SA information on this page should be used as a complementary analysis to other Marcopolo's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
Complementary Tools for Marcopolo Preferred Stock analysis
When running Marcopolo's price analysis, check to measure Marcopolo'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 Marcopolo is operating at the current time. Most of Marcopolo's value examination focuses on studying past and present price action to predict the probability of Marcopolo's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Marcopolo's price. Additionally, you may evaluate how the addition of Marcopolo to your portfolios can decrease your overall portfolio volatility.
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Marcopolo technical preferred 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, preferred stock market cycles, or different charting patterns.