Mastercard Incorporated (Germany) Market Value
| M4I Stock | EUR 495.95 2.00 0.40% |
| Symbol | Mastercard |
Mastercard Incorporated '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 Mastercard Incorporated'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 Mastercard Incorporated.
| 12/09/2024 |
| 01/08/2025 |
If you would invest 0.00 in Mastercard Incorporated on December 9, 2024 and sell it all today you would earn a total of 0.00 from holding Mastercard Incorporated or generate 0.0% return on investment in Mastercard Incorporated over 30 days. Mastercard Incorporated is related to or competes with OPKO HEALTH, Planet Fitness, Charter Communications, Shenandoah Telecommunicatio, Siemens Healthineers, Cairo Communication, and NATIONAL HEALTHCARE. More
Mastercard Incorporated 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 Mastercard Incorporated'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 Mastercard Incorporated upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.12 | |||
| Information Ratio | 0.1456 | |||
| Maximum Drawdown | 6.43 | |||
| Value At Risk | (1.45) | |||
| Potential Upside | 2.03 |
Mastercard Incorporated Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mastercard Incorporated's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mastercard Incorporated's standard deviation. In reality, there are many statistical measures that can use Mastercard Incorporated historical prices to predict the future Mastercard Incorporated's volatility.| Risk Adjusted Performance | 0.1408 | |||
| Jensen Alpha | 0.18 | |||
| Total Risk Alpha | 0.1571 | |||
| Sortino Ratio | 0.1464 | |||
| Treynor Ratio | 1.43 |
Mastercard Incorporated Backtested Returns
As of now, Mastercard Stock is very steady. Mastercard Incorporated has Sharpe Ratio of 0.13, which conveys that the firm had a 0.13% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Mastercard Incorporated, which you can use to evaluate the volatility of the firm. Please verify Mastercard Incorporated's Downside Deviation of 1.12, risk adjusted performance of 0.1408, and Mean Deviation of 0.7988 to check out if the risk estimate we provide is consistent with the expected return of 0.15%. Mastercard Incorporated has a performance score of 9 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.13, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mastercard Incorporated's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mastercard Incorporated is expected to be smaller as well. Mastercard Incorporated right now secures a risk of 1.17%. Please verify Mastercard Incorporated maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Mastercard Incorporated will be following its current price movements.
Auto-correlation | -0.12 |
Insignificant reverse predictability
Mastercard Incorporated has insignificant reverse predictability. Overlapping area represents the amount of predictability between Mastercard Incorporated time series from 9th of December 2024 to 24th of December 2024 and 24th of December 2024 to 8th of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Mastercard Incorporated price movement. The serial correlation of -0.12 indicates that less than 12.0% of current Mastercard Incorporated price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.12 | |
| Spearman Rank Test | -0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 37.33 |
Mastercard Incorporated lagged returns against current returns
Autocorrelation, which is Mastercard Incorporated 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 Mastercard Incorporated's stock expected returns. We can calculate the autocorrelation of Mastercard Incorporated returns to help us make a trade decision. For example, suppose you find that Mastercard Incorporated 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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Mastercard Incorporated 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 Mastercard Incorporated stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mastercard Incorporated stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mastercard Incorporated stock over time.
Current vs Lagged Prices |
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Mastercard Incorporated Lagged Returns
When evaluating Mastercard Incorporated's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mastercard Incorporated stock have on its future price. Mastercard Incorporated 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, Mastercard Incorporated autocorrelation shows the relationship between Mastercard Incorporated stock current value and its past values and can show if there is a momentum factor associated with investing in Mastercard Incorporated.
Regressed Prices |
| Timeline |
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Mastercard Incorporated financial ratios help investors to determine whether Mastercard 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 Mastercard with respect to the benefits of owning Mastercard Incorporated security.