Macquarie Bank (Australia) Market Value
| MBLPC Preferred Stock | 102.92 0.30 0.29% |
| Symbol | Macquarie |
Macquarie Bank '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 Bank's preferred 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 Bank.
| 08/22/2024 |
| 12/20/2024 |
If you would invest 0.00 in Macquarie Bank on August 22, 2024 and sell it all today you would earn a total of 0.00 from holding Macquarie Bank Ltd or generate 0.0% return on investment in Macquarie Bank over 120 days. Macquarie Bank is related to or competes with Bendigo, Bank Of Queensland, Bank of Queensland, BSP Financial, Judo Capital, Auswide Bank, and BNK Banking. More
Macquarie Bank 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 Bank's preferred 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 Bank Ltd upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3205 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 1.33 | |||
| Value At Risk | (0.52) | |||
| Potential Upside | 0.5745 |
Macquarie Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Macquarie Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Macquarie Bank's standard deviation. In reality, there are many statistical measures that can use Macquarie Bank historical prices to predict the future Macquarie Bank's volatility.| Risk Adjusted Performance | 0.0313 | |||
| Jensen Alpha | 0.0081 | |||
| Total Risk Alpha | (0.0008) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (1.57) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Macquarie Bank'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.
Macquarie Bank Backtested Returns
At this point, Macquarie Bank is very steady. Macquarie Bank has Sharpe Ratio of 0.0815, which conveys that the firm had a 0.0815% return per unit of risk over the last 3 months. We have found thirty technical indicators for Macquarie Bank, which you can use to evaluate the volatility of the firm. Please verify Macquarie Bank's Risk Adjusted Performance of 0.0313, downside deviation of 0.3205, and Mean Deviation of 0.223 to check out if the risk estimate we provide is consistent with the expected return of 0.0242%. Macquarie Bank has a performance score of 6 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.0051, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Macquarie Bank are expected to decrease at a much lower rate. During the bear market, Macquarie Bank is likely to outperform the market. Macquarie Bank right now secures a risk of 0.3%. Please verify Macquarie Bank Ltd maximum drawdown, skewness, and the relationship between the total risk alpha and downside variance , to decide if Macquarie Bank Ltd will be following its current price movements.
Auto-correlation | 0.23 |
Weak predictability
Macquarie Bank Ltd has weak predictability. Overlapping area represents the amount of predictability between Macquarie Bank time series from 22nd of August 2024 to 21st of October 2024 and 21st of October 2024 to 20th of December 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 Bank price movement. The serial correlation of 0.23 indicates that over 23.0% of current Macquarie Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.23 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
Macquarie Bank lagged returns against current returns
Autocorrelation, which is Macquarie Bank preferred 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 Bank's preferred stock expected returns. We can calculate the autocorrelation of Macquarie Bank returns to help us make a trade decision. For example, suppose you find that Macquarie Bank has exhibited high autocorrelation historically, and you observe that the preferred 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 Bank 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 Bank preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macquarie Bank preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macquarie Bank preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Macquarie Bank Lagged Returns
When evaluating Macquarie Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Macquarie Bank preferred stock have on its future price. Macquarie Bank 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 Bank autocorrelation shows the relationship between Macquarie Bank preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Macquarie Bank Ltd.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Macquarie Preferred Stock
Macquarie Bank financial ratios help investors to determine whether Macquarie Preferred 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 Bank security.