Meritage Homes (Germany) Market Value
| MEY Stock | 149.00 1.00 0.68% |
| Symbol | Meritage |
Meritage Homes '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 Meritage Homes' 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 Meritage Homes.
| 07/01/2024 |
| 12/28/2024 |
Meritage Homes 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 Meritage Homes' 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 Meritage Homes upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 8.38 | |||
| Value At Risk | (3.96) | |||
| Potential Upside | 2.31 |
Meritage Homes Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Meritage Homes' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Meritage Homes' standard deviation. In reality, there are many statistical measures that can use Meritage Homes historical prices to predict the future Meritage Homes' volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.31) | |||
| Total Risk Alpha | (0.36) | |||
| Treynor Ratio | (1.44) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Meritage Homes' 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.
Meritage Homes Backtested Returns
Meritage Homes has Sharpe Ratio of -0.16, which conveys that the firm had a -0.16% return per unit of risk over the last 3 months. Meritage Homes exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Meritage Homes' Mean Deviation of 1.49, risk adjusted performance of (0.12), and Standard Deviation of 1.91 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.21, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Meritage Homes' returns are expected to increase less than the market. However, during the bear market, the loss of holding Meritage Homes is expected to be smaller as well. At this point, Meritage Homes has a negative expected return of -0.3%. Please make sure to verify Meritage Homes' jensen alpha, skewness, as well as the relationship between the Skewness and day median price , to decide if Meritage Homes performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.47 |
Modest reverse predictability
Meritage Homes has modest reverse predictability. Overlapping area represents the amount of predictability between Meritage Homes time series from 1st of July 2024 to 29th of September 2024 and 29th of September 2024 to 28th 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 Meritage Homes price movement. The serial correlation of -0.47 indicates that about 47.0% of current Meritage Homes price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.47 | |
| Spearman Rank Test | -0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 79.76 |
Meritage Homes lagged returns against current returns
Autocorrelation, which is Meritage Homes 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 Meritage Homes' stock expected returns. We can calculate the autocorrelation of Meritage Homes returns to help us make a trade decision. For example, suppose you find that Meritage Homes 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 |
Meritage Homes 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 Meritage Homes stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Meritage Homes stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Meritage Homes stock over time.
Current vs Lagged Prices |
| Timeline |
Meritage Homes Lagged Returns
When evaluating Meritage Homes' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Meritage Homes stock have on its future price. Meritage Homes 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, Meritage Homes autocorrelation shows the relationship between Meritage Homes stock current value and its past values and can show if there is a momentum factor associated with investing in Meritage Homes.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Meritage Stock Analysis
When running Meritage Homes' price analysis, check to measure Meritage Homes' 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 Meritage Homes is operating at the current time. Most of Meritage Homes' value examination focuses on studying past and present price action to predict the probability of Meritage Homes' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Meritage Homes' price. Additionally, you may evaluate how the addition of Meritage Homes to your portfolios can decrease your overall portfolio volatility.