MSCI (Germany) Market Value
| 3HM Stock | 571.80 1.80 0.31% |
| Symbol | MSCI |
MSCI '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 MSCI'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 MSCI.
| 12/09/2022 |
| 11/28/2024 |
MSCI 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 MSCI'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 MSCI Inc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.44 | |||
| Information Ratio | 0.1236 | |||
| Maximum Drawdown | 13.77 | |||
| Value At Risk | (1.31) | |||
| Potential Upside | 1.87 |
MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MSCI's standard deviation. In reality, there are many statistical measures that can use MSCI historical prices to predict the future MSCI's volatility.| Risk Adjusted Performance | 0.1634 | |||
| Jensen Alpha | 0.3032 | |||
| Total Risk Alpha | 0.0674 | |||
| Sortino Ratio | 0.1346 | |||
| Treynor Ratio | 3.59 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of MSCI'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.
MSCI Inc Backtested Returns
Currently, MSCI Inc is very steady. MSCI Inc retains Efficiency (Sharpe Ratio) of 0.0877, which conveys that the firm had a 0.0877% return per unit of risk over the last 3 months. We have found thirty technical indicators for MSCI, which you can use to evaluate the volatility of the firm. Please verify MSCI's Semi Deviation of 1.06, mean deviation of 1.01, and Market Risk Adjusted Performance of 3.6 to check out if the risk estimate we provide is consistent with the expected return of 0.14%. MSCI has a performance score of 6 on a scale of 0 to 100. The company owns a Beta (Systematic Risk) of 0.0873, which conveys not very significant fluctuations relative to the market. As returns on the market increase, MSCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding MSCI is expected to be smaller as well. MSCI Inc currently owns a risk of 1.65%. Please verify MSCI Inc treynor ratio, expected short fall, and the relationship between the jensen alpha and potential upside , to decide if MSCI Inc will be following its current price history.
Auto-correlation | 0.61 |
Good predictability
MSCI Inc has good predictability. Overlapping area represents the amount of predictability between MSCI time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th 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 MSCI Inc price movement. The serial correlation of 0.61 indicates that roughly 61.0% of current MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.61 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 1355.45 |
MSCI Inc lagged returns against current returns
Autocorrelation, which is MSCI 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 MSCI's stock expected returns. We can calculate the autocorrelation of MSCI returns to help us make a trade decision. For example, suppose you find that MSCI 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 |
MSCI 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 MSCI stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MSCI stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MSCI stock over time.
Current vs Lagged Prices |
| Timeline |
MSCI Lagged Returns
When evaluating MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MSCI stock have on its future price. MSCI 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, MSCI autocorrelation shows the relationship between MSCI stock current value and its past values and can show if there is a momentum factor associated with investing in MSCI Inc.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for MSCI Stock Analysis
When running MSCI's price analysis, check to measure MSCI'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 MSCI is operating at the current time. Most of MSCI's value examination focuses on studying past and present price action to predict the probability of MSCI's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move MSCI's price. Additionally, you may evaluate how the addition of MSCI to your portfolios can decrease your overall portfolio volatility.