Macquarie Group Limited Stock Market Value
| MCQEF Stock | USD 128.70 0.00 0.00% |
| 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 pink sheet 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.
| 02/23/2024 |
| 04/23/2024 |
If you would invest 0.00 in Macquarie Group on February 23, 2024 and sell it all today you would earn a total of 0.00 from holding Macquarie Group Limited or generate 0.0% return on investment in Macquarie Group over 60 days. Macquarie Group is related to or competes with Up Fintech, CITIC Securities, Futu Holdings, Bit Digital, Xp, Magic Empire, and Applied Blockchain. Macquarie Group Limited provides diversified financial services in Australia, the Americas, Europe, the Middle East, Afr... 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 pink sheet 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 Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.77 | |||
| Information Ratio | 0.0418 | |||
| Maximum Drawdown | 11.35 | |||
| Value At Risk | (2.79) | |||
| Potential Upside | 3.69 |
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 | 0.0635 | |||
| Jensen Alpha | 0.1724 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | 0.0266 | |||
| Treynor Ratio | (0.62) |
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
We consider Macquarie Group very steady. Macquarie Group has Sharpe Ratio of 0.0535, which conveys that the firm had a 0.0535% return per unit of risk over the last 3 months. We have found twenty-four technical indicators for Macquarie Group, which you can use to evaluate the volatility of the firm. Please verify Macquarie Group's Risk Adjusted Performance of 0.0635, mean deviation of 0.9725, and Downside Deviation of 2.77 to check out if the risk estimate we provide is consistent with the expected return of 0.0876%. Macquarie Group has a performance score of 4 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.25, 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 1.64%. Please verify Macquarie Group Limited maximum drawdown, skewness, and the relationship between the total risk alpha and downside variance , to decide if Macquarie Group Limited will be following its current price movements.
Auto-correlation | -0.63 |
Very good reverse predictability
Macquarie Group Limited has very good reverse predictability. Overlapping area represents the amount of predictability between Macquarie Group time series from 23rd of February 2024 to 24th of March 2024 and 24th of March 2024 to 23rd 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 Macquarie Group price movement. The serial correlation of -0.63 indicates that roughly 63.0% of current Macquarie Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.63 | |
| Spearman Rank Test | -0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.78 |
Macquarie Group lagged returns against current returns
Autocorrelation, which is Macquarie Group pink sheet'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 pink sheet 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 pink sheet 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 pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macquarie Group pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macquarie Group pink sheet 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 pink sheet 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 pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Macquarie Group Limited.
Regressed Prices |
| Timeline |
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Complementary Tools for Macquarie Pink Sheet analysis
When running Macquarie Group's price analysis, check to measure Macquarie Group'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 Macquarie Group is operating at the current time. Most of Macquarie Group's value examination focuses on studying past and present price action to predict the probability of Macquarie Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Macquarie Group's price. Additionally, you may evaluate how the addition of Macquarie Group to your portfolios can decrease your overall portfolio volatility.
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Macquarie Group technical pink sheet 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, pink sheet market cycles, or different charting patterns.