Macquarie (Australia) Market Value
| MQG Stock | 232.44 1.84 0.80% |
| Symbol | Macquarie |
Macquarie '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'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.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Macquarie on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Macquarie Group or generate 0.0% return on investment in Macquarie over 30 days. Macquarie is related to or competes with IDP Education, Embark Education, Australian Unity, and Kip McGrath. Macquarie is entity of Australia. It is traded as Stock on AU exchange. More
Macquarie 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'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 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.26 | |||
| Information Ratio | 0.0114 | |||
| Maximum Drawdown | 5.96 | |||
| Value At Risk | (1.83) | |||
| Potential Upside | 1.7 |
Macquarie Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Macquarie's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Macquarie's standard deviation. In reality, there are many statistical measures that can use Macquarie historical prices to predict the future Macquarie's volatility.| Risk Adjusted Performance | 0.0971 | |||
| Jensen Alpha | 0.1229 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.0105 | |||
| Treynor Ratio | 1.74 |
Macquarie Group Backtested Returns
Currently, 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, which you can use to evaluate the volatility of the firm. Please verify Macquarie's Mean Deviation of 0.8362, risk adjusted performance of 0.0971, and Downside Deviation of 1.26 to check out if the risk estimate we provide is consistent with the expected return of 0.15%. Macquarie has a performance score of 10 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.0756, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Macquarie's returns are expected to increase less than the market. However, during the bear market, the loss of holding Macquarie is expected to be smaller as well. Macquarie Group right now secures a risk of 1.17%. Please verify Macquarie Group semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and information ratio , to decide if Macquarie Group will be following its current price movements.
Auto-correlation | 0.01 |
Virtually no predictability
Macquarie Group has virtually no predictability. Overlapping area represents the amount of predictability between Macquarie time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 0.01 indicates that just 1.0% of current Macquarie price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.01 | |
| Spearman Rank Test | -0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 1.39 |
Macquarie Group lagged returns against current returns
Autocorrelation, which is Macquarie 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's stock expected returns. We can calculate the autocorrelation of Macquarie returns to help us make a trade decision. For example, suppose you find that Macquarie 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 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macquarie stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macquarie stock over time.
Current vs Lagged Prices |
| Timeline |
Macquarie Lagged Returns
When evaluating Macquarie's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Macquarie stock have on its future price. Macquarie 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 autocorrelation shows the relationship between Macquarie stock current value and its past values and can show if there is a momentum factor associated with investing in Macquarie Group.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Macquarie Stock Analysis
When running Macquarie's price analysis, check to measure Macquarie'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 Macquarie is operating at the current time. Most of Macquarie's value examination focuses on studying past and present price action to predict the probability of Macquarie's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Macquarie's price. Additionally, you may evaluate how the addition of Macquarie to your portfolios can decrease your overall portfolio volatility.