Taylor Morrison (Germany) Market Value
| THM Stock | 69.50 0.50 0.71% |
| Symbol | Taylor |
Taylor Morrison '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 Taylor Morrison'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 Taylor Morrison.
| 06/05/2024 |
| 12/02/2024 |
If you would invest 0.00 in Taylor Morrison on June 5, 2024 and sell it all today you would earn a total of 0.00 from holding Taylor Morrison Home or generate 0.0% return on investment in Taylor Morrison over 180 days. Taylor Morrison is related to or competes with SOUTHWEST AIRLINES, CVS Health, EHEALTH, MOLSON COORS, COFCO Joycome, and Tyson Foods. More
Taylor Morrison 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 Taylor Morrison'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 Taylor Morrison Home upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.13 | |||
| Information Ratio | 0.0611 | |||
| Maximum Drawdown | 9.93 | |||
| Value At Risk | (2.48) | |||
| Potential Upside | 3.28 |
Taylor Morrison Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Taylor Morrison's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Taylor Morrison's standard deviation. In reality, there are many statistical measures that can use Taylor Morrison historical prices to predict the future Taylor Morrison's volatility.| Risk Adjusted Performance | 0.1082 | |||
| Jensen Alpha | 0.2265 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | 0.0543 | |||
| Treynor Ratio | 1.85 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Taylor Morrison'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.
Taylor Morrison Home Backtested Returns
Taylor Morrison appears to be very steady, given 3 months investment horizon. Taylor Morrison Home owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the firm had a 0.14% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Taylor Morrison Home, which you can use to evaluate the volatility of the company. Please review Taylor Morrison's Risk Adjusted Performance of 0.1082, coefficient of variation of 747.86, and Semi Deviation of 1.62 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Taylor Morrison holds a performance score of 11. The entity has a beta of 0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Taylor Morrison's returns are expected to increase less than the market. However, during the bear market, the loss of holding Taylor Morrison is expected to be smaller as well. Please check Taylor Morrison's semi variance, as well as the relationship between the daily balance of power and price action indicator , to make a quick decision on whether Taylor Morrison's existing price patterns will revert.
Auto-correlation | 0.53 |
Modest predictability
Taylor Morrison Home has modest predictability. Overlapping area represents the amount of predictability between Taylor Morrison time series from 5th of June 2024 to 3rd of September 2024 and 3rd of September 2024 to 2nd 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 Taylor Morrison Home price movement. The serial correlation of 0.53 indicates that about 53.0% of current Taylor Morrison price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | 0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 10.37 |
Taylor Morrison Home lagged returns against current returns
Autocorrelation, which is Taylor Morrison 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 Taylor Morrison's stock expected returns. We can calculate the autocorrelation of Taylor Morrison returns to help us make a trade decision. For example, suppose you find that Taylor Morrison 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 |
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Taylor Morrison 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 Taylor Morrison stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Taylor Morrison stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Taylor Morrison stock over time.
Current vs Lagged Prices |
| Timeline |
Taylor Morrison Lagged Returns
When evaluating Taylor Morrison's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Taylor Morrison stock have on its future price. Taylor Morrison 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, Taylor Morrison autocorrelation shows the relationship between Taylor Morrison stock current value and its past values and can show if there is a momentum factor associated with investing in Taylor Morrison Home.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Taylor Stock Analysis
When running Taylor Morrison's price analysis, check to measure Taylor Morrison'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 Taylor Morrison is operating at the current time. Most of Taylor Morrison's value examination focuses on studying past and present price action to predict the probability of Taylor Morrison's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Taylor Morrison's price. Additionally, you may evaluate how the addition of Taylor Morrison to your portfolios can decrease your overall portfolio volatility.