Mastercard Incorporated (Germany) Market Value
| M4I Stock | EUR 496.90 1.25 0.25% |
| 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.
| 02/18/2023 |
| 01/08/2025 |
If you would invest 0.00 in Mastercard Incorporated on February 18, 2023 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 690 days. Mastercard Incorporated is related to or competes with United Utilities, UNITED UTILITIES, ASURE SOFTWARE, Chesapeake Utilities, Carsales, ZhongAn Online, and Guidewire Software. 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 | 0.9323 | |||
| Information Ratio | 0.1538 | |||
| Maximum Drawdown | 6.53 | |||
| Value At Risk | (1.36) | |||
| Potential Upside | 1.82 |
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 | 0.1484 | |||
| Jensen Alpha | 0.1788 | |||
| Total Risk Alpha | 0.1557 | |||
| Sortino Ratio | 0.1728 | |||
| Treynor Ratio | 9.68 |
Mastercard Incorporated Backtested Returns
Currently, Mastercard Incorporated is very steady. Mastercard Incorporated has Sharpe Ratio of 0.14, which conveys that the firm had a 0.14% return per unit of risk over the last 3 months. We have found thirty technical indicators for Mastercard Incorporated, which you can use to evaluate the volatility of the firm. Please verify Mastercard Incorporated's Risk Adjusted Performance of 0.1484, mean deviation of 0.7509, and Downside Deviation of 0.9323 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 10 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.0185, 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 1.1%. Please verify Mastercard Incorporated treynor ratio, downside variance, kurtosis, as well as the relationship between the value at risk and expected short fall , to decide if Mastercard Incorporated will be following its current price movements.
Auto-correlation | 0.54 |
Modest predictability
Mastercard Incorporated has modest predictability. Overlapping area represents the amount of predictability between Mastercard Incorporated time series from 18th of February 2023 to 29th of January 2024 and 29th of January 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 0.54 indicates that about 54.0% of current Mastercard Incorporated price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 971.58 |
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 |
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Thematic Opportunities
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Additional Tools for Mastercard Stock Analysis
When running Mastercard Incorporated's price analysis, check to measure Mastercard Incorporated'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 Mastercard Incorporated is operating at the current time. Most of Mastercard Incorporated's value examination focuses on studying past and present price action to predict the probability of Mastercard Incorporated's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Mastercard Incorporated's price. Additionally, you may evaluate how the addition of Mastercard Incorporated to your portfolios can decrease your overall portfolio volatility.