Macquarie Group (Germany) Market Value
| 4M4 Stock | EUR 139.96 0.16 0.11% |
| Symbol | Macquarie |
Macquarie Group '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 Macquarie Group'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 Macquarie Group.
| 05/27/2024 |
| 11/23/2024 |
If you would invest 0.00 in Macquarie Group on May 27, 2024 and sell it all today you would earn a total of 0.00 from holding Macquarie Group Limited or generate 0.0% return on investment in Macquarie Group over 180 days. Macquarie Group is related to or competes with Gruppo Mutuionline, Hanover Insurance, Insurance Australia, MUTUIONLINE, REVO INSURANCE, Universal Insurance, and Goosehead Insurance. Macquarie Group Limited provides diversified financial services in Australia, Europe, the Middle East, Africa, Americas,... More
Macquarie Group 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 Macquarie Group'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 Macquarie Group Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.39 | |||
| Information Ratio | 0.0506 | |||
| Maximum Drawdown | 5.94 | |||
| Value At Risk | (2.30) | |||
| Potential Upside | 2.28 |
Macquarie Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Macquarie Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Macquarie Group's standard deviation. In reality, there are many statistical measures that can use Macquarie Group historical prices to predict the future Macquarie Group's volatility.| Risk Adjusted Performance | 0.1189 | |||
| Jensen Alpha | 0.1774 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.048 | |||
| Treynor Ratio | 2.22 |
Macquarie Group Backtested Returns
At this point, Macquarie Group is very steady. Macquarie Group has Sharpe Ratio of 0.13, which conveys that the firm had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Macquarie Group, which you can use to evaluate the volatility of the firm. Please verify Macquarie Group's Mean Deviation of 1.02, risk adjusted performance of 0.1189, and Downside Deviation of 1.39 to check out if the risk estimate we provide is consistent with the expected return of 0.17%. Macquarie Group has a performance score of 10 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.0846, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Macquarie Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding Macquarie Group is expected to be smaller as well. Macquarie Group right now secures a risk of 1.32%. Please verify Macquarie Group Limited downside deviation, information ratio, and the relationship between the semi deviation and coefficient of variation , to decide if Macquarie Group Limited will be following its current price movements.
Auto-correlation | 0.79 |
Good predictability
Macquarie Group Limited has good predictability. Overlapping area represents the amount of predictability between Macquarie Group time series from 27th of May 2024 to 25th of August 2024 and 25th of August 2024 to 23rd 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 Macquarie Group price movement. The serial correlation of 0.79 indicates that around 79.0% of current Macquarie Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.79 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 19.04 |
Macquarie Group lagged returns against current returns
Autocorrelation, which is Macquarie Group 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 Macquarie Group's stock expected returns. We can calculate the autocorrelation of Macquarie Group returns to help us make a trade decision. For example, suppose you find that Macquarie Group 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 |
Macquarie Group 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 Macquarie Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macquarie Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macquarie Group stock over time.
Current vs Lagged Prices |
| Timeline |
Macquarie Group Lagged Returns
When evaluating Macquarie Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Macquarie Group stock have on its future price. Macquarie Group 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, Macquarie Group autocorrelation shows the relationship between Macquarie Group stock current value and its past values and can show if there is a momentum factor associated with investing in Macquarie Group Limited.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Macquarie Stock
Macquarie Group financial ratios help investors to determine whether Macquarie 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 Macquarie with respect to the benefits of owning Macquarie Group security.