Grupo Mxico (Mexico) Market Value
| GMEXICOB | MXN 100.47 0.95 0.95% |
| Symbol | Grupo |
Grupo Mxico '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 Grupo Mxico'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 Grupo Mxico.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Grupo Mxico on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Grupo Mxico SAB or generate 0.0% return on investment in Grupo Mxico over 30 days. Grupo Mxico is related to or competes with Samsung Electronics, Taiwan Semiconductor, YPF Sociedad, Alibaba Group, and Walmart. Grupo Mxico, S.A.B. de C.V. engages in copper production, rail transportation, and infrastructure businesses worldwide More
Grupo Mxico 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 Grupo Mxico'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 Grupo Mxico SAB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.06 | |||
| Information Ratio | 0.087 | |||
| Maximum Drawdown | 12.39 | |||
| Value At Risk | (3.11) | |||
| Potential Upside | 3.28 |
Grupo Mxico Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grupo Mxico's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grupo Mxico's standard deviation. In reality, there are many statistical measures that can use Grupo Mxico historical prices to predict the future Grupo Mxico's volatility.| Risk Adjusted Performance | 0.0892 | |||
| Jensen Alpha | 0.2944 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0896 | |||
| Treynor Ratio | (0.95) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Grupo Mxico'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.
Grupo Mxico SAB Backtested Returns
Grupo Mxico appears to be very steady, given 3 months investment horizon. Grupo Mxico SAB holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Grupo Mxico SAB, which you can use to evaluate the volatility of the firm. Please utilize Grupo Mxico's Downside Deviation of 2.06, market risk adjusted performance of (0.94), and Risk Adjusted Performance of 0.0892 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Grupo Mxico holds a performance score of 9. The company retains a Market Volatility (i.e., Beta) of -0.28, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Grupo Mxico are expected to decrease at a much lower rate. During the bear market, Grupo Mxico is likely to outperform the market. Please check Grupo Mxico's potential upside, as well as the relationship between the kurtosis and day typical price , to make a quick decision on whether Grupo Mxico's current trending patterns will revert.
Auto-correlation | -0.79 |
Almost perfect reverse predictability
Grupo Mxico SAB has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Grupo Mxico time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Grupo Mxico SAB price movement. The serial correlation of -0.79 indicates that around 79.0% of current Grupo Mxico price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.79 | |
| Spearman Rank Test | -0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 4.54 |
Grupo Mxico SAB lagged returns against current returns
Autocorrelation, which is Grupo Mxico 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 Grupo Mxico's stock expected returns. We can calculate the autocorrelation of Grupo Mxico returns to help us make a trade decision. For example, suppose you find that Grupo Mxico 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 |
Grupo Mxico 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 Grupo Mxico stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grupo Mxico stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grupo Mxico stock over time.
Current vs Lagged Prices |
| Timeline |
Grupo Mxico Lagged Returns
When evaluating Grupo Mxico's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grupo Mxico stock have on its future price. Grupo Mxico 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, Grupo Mxico autocorrelation shows the relationship between Grupo Mxico stock current value and its past values and can show if there is a momentum factor associated with investing in Grupo Mxico SAB.
Regressed Prices |
| Timeline |
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Complementary Tools for Grupo Stock analysis
When running Grupo Mxico's price analysis, check to measure Grupo Mxico'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 Grupo Mxico is operating at the current time. Most of Grupo Mxico's value examination focuses on studying past and present price action to predict the probability of Grupo Mxico's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Grupo Mxico's price. Additionally, you may evaluate how the addition of Grupo Mxico to your portfolios can decrease your overall portfolio volatility.
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Grupo Mxico 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.