Mapfre SA (Germany) Market Value
| CMAB Stock | EUR 2.46 0.02 0.81% |
| Symbol | Mapfre |
Mapfre SA '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 Mapfre SA'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 Mapfre SA.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in Mapfre SA on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding Mapfre SA or generate 0.0% return on investment in Mapfre SA over 30 days. Mapfre SA is related to or competes with First American, Lancashire Holdings, and Trisura. Mapfre, S.A., engages in the insurance and reinsurance activities worldwide More
Mapfre SA 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 Mapfre SA'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 Mapfre SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.38 | |||
| Information Ratio | 0.0576 | |||
| Maximum Drawdown | 9.27 | |||
| Value At Risk | (1.98) | |||
| Potential Upside | 2.86 |
Mapfre SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mapfre SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mapfre SA's standard deviation. In reality, there are many statistical measures that can use Mapfre SA historical prices to predict the future Mapfre SA's volatility.| Risk Adjusted Performance | 0.0948 | |||
| Jensen Alpha | 0.1783 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.0634 | |||
| Treynor Ratio | (19.94) |
Mapfre SA Backtested Returns
At this point, Mapfre SA is moderately volatile. Mapfre SA has Sharpe Ratio of 0.0551, which conveys that the firm had a 0.0551% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Mapfre SA, which you can use to evaluate the volatility of the firm. Please verify Mapfre SA's Risk Adjusted Performance of 0.0948, mean deviation of 1.08, and Downside Deviation of 1.38 to check out if the risk estimate we provide is consistent with the expected return of 0.0723%. Mapfre SA has a performance score of 4 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.0089, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Mapfre SA are expected to decrease at a much lower rate. During the bear market, Mapfre SA is likely to outperform the market. Mapfre SA right now secures a risk of 1.31%. Please verify Mapfre SA information ratio, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Mapfre SA will be following its current price movements.
Auto-correlation | 0.39 |
Below average predictability
Mapfre SA has below average predictability. Overlapping area represents the amount of predictability between Mapfre SA time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 Mapfre SA price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Mapfre SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Mapfre SA lagged returns against current returns
Autocorrelation, which is Mapfre SA 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 Mapfre SA's stock expected returns. We can calculate the autocorrelation of Mapfre SA returns to help us make a trade decision. For example, suppose you find that Mapfre SA 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 |
Mapfre SA 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 Mapfre SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mapfre SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mapfre SA stock over time.
Current vs Lagged Prices |
| Timeline |
Mapfre SA Lagged Returns
When evaluating Mapfre SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mapfre SA stock have on its future price. Mapfre SA 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, Mapfre SA autocorrelation shows the relationship between Mapfre SA stock current value and its past values and can show if there is a momentum factor associated with investing in Mapfre SA.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Mapfre Stock
Mapfre SA financial ratios help investors to determine whether Mapfre 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 Mapfre with respect to the benefits of owning Mapfre SA security.