Macerich (Germany) Market Value
| M6G Stock | EUR 14.20 0.41 2.81% |
| Symbol | Macerich |
Macerich '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 Macerich'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 Macerich.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Macerich on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding The Macerich or generate 0.0% return on investment in Macerich over 30 days. Macerich is related to or competes with Superior Plus, Origin Agritech, SIVERS SEMICONDUCTORS, NorAm Drilling, and Identiv. Macerich, an SP 500 company, is a fully integrated, self-managed and self-administered real estate investment trust, whi... More
Macerich 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 Macerich'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 The Macerich upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.94 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 11.39 | |||
| Value At Risk | (3.05) | |||
| Potential Upside | 3.11 |
Macerich Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Macerich's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Macerich's standard deviation. In reality, there are many statistical measures that can use Macerich historical prices to predict the future Macerich's volatility.| Risk Adjusted Performance | 0.0246 | |||
| Jensen Alpha | 0.0483 | |||
| Total Risk Alpha | (0.15) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 2.88 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Macerich'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.
Macerich Backtested Returns
We consider Macerich not too volatile. Macerich has Sharpe Ratio of 0.0227, which conveys that the firm had a 0.0227% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Macerich, which you can use to evaluate the volatility of the firm. Please verify Macerich's Risk Adjusted Performance of 0.0246, downside deviation of 1.94, and Market Risk Adjusted Performance of 2.89 to check out if the risk estimate we provide is consistent with the expected return of 0.0469%. Macerich has a performance score of 1 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.0171, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Macerich's returns are expected to increase less than the market. However, during the bear market, the loss of holding Macerich is expected to be smaller as well. Macerich right now secures a risk of 2.07%. Please verify The Macerich downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if The Macerich will be following its current price movements.
Auto-correlation | -0.27 |
Weak reverse predictability
The Macerich has weak reverse predictability. Overlapping area represents the amount of predictability between Macerich time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 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 Macerich price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current Macerich price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Macerich lagged returns against current returns
Autocorrelation, which is Macerich 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 Macerich's stock expected returns. We can calculate the autocorrelation of Macerich returns to help us make a trade decision. For example, suppose you find that Macerich 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 |
Macerich 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 Macerich stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macerich stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macerich stock over time.
Current vs Lagged Prices |
| Timeline |
Macerich Lagged Returns
When evaluating Macerich's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Macerich stock have on its future price. Macerich 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, Macerich autocorrelation shows the relationship between Macerich stock current value and its past values and can show if there is a momentum factor associated with investing in The Macerich.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Macerich Correlation, Macerich Volatility and Macerich Alpha and Beta module to complement your research on Macerich. You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Complementary Tools for Macerich Stock analysis
When running Macerich's price analysis, check to measure Macerich'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 Macerich is operating at the current time. Most of Macerich's value examination focuses on studying past and present price action to predict the probability of Macerich's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Macerich's price. Additionally, you may evaluate how the addition of Macerich to your portfolios can decrease your overall portfolio volatility.
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Macerich technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.