Macquarie Group (Australia) Market Value
| MQGPD Preferred Stock | 105.90 0.76 0.72% |
| 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 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 Group.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in Macquarie Group on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding Macquarie Group Ltd or generate 0.0% return on investment in Macquarie Group over 720 days. Macquarie Group is related to or competes with Richmond Vanadium, EMvision Medical, and Autosports. 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 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 Group Ltd upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5165 | |||
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 4.04 | |||
| Value At Risk | (0.72) | |||
| Potential Upside | 0.7228 |
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 | 0.072 | |||
| Jensen Alpha | 0.0423 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.17) | |||
| Treynor Ratio | (4.68) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Macquarie Group'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 Group Backtested Returns
At this point, Macquarie Group is very steady. Macquarie Group has Sharpe Ratio of 0.0934, which conveys that the firm had a 0.0934% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Macquarie Group, which you can use to evaluate the volatility of the firm. Please verify Macquarie Group's Downside Deviation of 0.5165, risk adjusted performance of 0.072, and Mean Deviation of 0.3099 to check out if the risk estimate we provide is consistent with the expected return of 0.0473%. Macquarie Group has a performance score of 7 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.0088, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Macquarie Group are expected to decrease at a much lower rate. During the bear market, Macquarie Group is likely to outperform the market. Macquarie Group right now secures a risk of 0.51%. Please verify Macquarie Group Ltd downside variance, day median price, and the relationship between the treynor ratio and kurtosis , to decide if Macquarie Group Ltd will be following its current price movements.
Auto-correlation | 0.78 |
Good predictability
Macquarie Group Ltd has good predictability. Overlapping area represents the amount of predictability between Macquarie Group time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 Group price movement. The serial correlation of 0.78 indicates that around 78.0% of current Macquarie Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.78 | |
| Spearman Rank Test | 0.76 | |
| Residual Average | 0.0 | |
| Price Variance | 3.85 |
Macquarie Group lagged returns against current returns
Autocorrelation, which is Macquarie Group 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 Group's preferred 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 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 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 preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macquarie Group 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 Group preferred 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 preferred 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 preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Macquarie Group Ltd.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Macquarie Preferred Stock
Macquarie Group 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 Group security.