Magazine Luiza (Brazil) Market Value
| MGLU3 Stock | BRL 9.14 0.24 2.56% |
| Symbol | Magazine |
Magazine Luiza '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 Magazine Luiza'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 Magazine Luiza.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Magazine Luiza on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Magazine Luiza SA or generate 0.0% return on investment in Magazine Luiza over 30 days. Magazine Luiza is related to or competes with Baidu, Deutsche Bank, HSBC Holdings, Bank Of, Banco Do, and Alibaba Group. Magazine Luiza S.A. engages in the retail sale of consumer goods More
Magazine Luiza 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 Magazine Luiza'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 Magazine Luiza SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 13.98 | |||
| Value At Risk | (4.84) | |||
| Potential Upside | 3.72 |
Magazine Luiza Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Magazine Luiza's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Magazine Luiza's standard deviation. In reality, there are many statistical measures that can use Magazine Luiza historical prices to predict the future Magazine Luiza's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.68) | |||
| Total Risk Alpha | (0.98) | |||
| Treynor Ratio | (0.64) |
Magazine Luiza SA Backtested Returns
Magazine Luiza SA has Sharpe Ratio of -0.19, which conveys that the firm had a -0.19% return per unit of risk over the last 3 months. Magazine Luiza exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Magazine Luiza's Standard Deviation of 2.99, mean deviation of 2.39, and Risk Adjusted Performance of (0.14) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.92, which conveys possible diversification benefits within a given portfolio. Magazine Luiza returns are very sensitive to returns on the market. As the market goes up or down, Magazine Luiza is expected to follow. At this point, Magazine Luiza SA has a negative expected return of -0.56%. Please make sure to verify Magazine Luiza's jensen alpha, value at risk, accumulation distribution, as well as the relationship between the treynor ratio and skewness , to decide if Magazine Luiza SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.55 |
Good reverse predictability
Magazine Luiza SA has good reverse predictability. Overlapping area represents the amount of predictability between Magazine Luiza time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd 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 Magazine Luiza SA price movement. The serial correlation of -0.55 indicates that about 55.0% of current Magazine Luiza price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.55 | |
| Spearman Rank Test | -0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Magazine Luiza SA lagged returns against current returns
Autocorrelation, which is Magazine Luiza 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 Magazine Luiza's stock expected returns. We can calculate the autocorrelation of Magazine Luiza returns to help us make a trade decision. For example, suppose you find that Magazine Luiza 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 |
Magazine Luiza 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 Magazine Luiza stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Magazine Luiza stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Magazine Luiza stock over time.
Current vs Lagged Prices |
| Timeline |
Magazine Luiza Lagged Returns
When evaluating Magazine Luiza's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Magazine Luiza stock have on its future price. Magazine Luiza 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, Magazine Luiza autocorrelation shows the relationship between Magazine Luiza stock current value and its past values and can show if there is a momentum factor associated with investing in Magazine Luiza SA.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Magazine Stock Analysis
When running Magazine Luiza's price analysis, check to measure Magazine Luiza'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 Magazine Luiza is operating at the current time. Most of Magazine Luiza's value examination focuses on studying past and present price action to predict the probability of Magazine Luiza's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Magazine Luiza's price. Additionally, you may evaluate how the addition of Magazine Luiza to your portfolios can decrease your overall portfolio volatility.