Mastercard (Germany) Market Value
| M4I Stock | 498.10 8.10 1.60% |
| Symbol | Mastercard |
Mastercard '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'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.
| 12/08/2024 |
| 01/07/2025 |
If you would invest 0.00 in Mastercard on December 8, 2024 and sell it all today you would earn a total of 0.00 from holding Mastercard or generate 0.0% return on investment in Mastercard over 30 days. Mastercard is related to or competes with MACOM Technology, Micron Technology, X-FAB Silicon, CyberArk Software, Take-Two Interactive, and SCOTT TECHNOLOGY. More
Mastercard 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'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 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9099 | |||
| Information Ratio | 0.1743 | |||
| Maximum Drawdown | 6.64 | |||
| Value At Risk | (1.44) | |||
| Potential Upside | 1.85 |
Mastercard Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mastercard's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mastercard's standard deviation. In reality, there are many statistical measures that can use Mastercard historical prices to predict the future Mastercard's volatility.| Risk Adjusted Performance | 0.1606 | |||
| Jensen Alpha | 0.2 | |||
| Total Risk Alpha | 0.1846 | |||
| Sortino Ratio | 0.2074 | |||
| Treynor Ratio | 2.34 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mastercard'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.
Mastercard Backtested Returns
Currently, Mastercard is very steady. Mastercard 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, which you can use to evaluate the volatility of the firm. Please verify Mastercard's Downside Deviation of 0.9099, risk adjusted performance of 0.1606, and Mean Deviation of 0.782 to check out if the risk estimate we provide is consistent with the expected return of 0.16%. Mastercard has a performance score of 10 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.0858, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mastercard's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mastercard is expected to be smaller as well. Mastercard right now secures a risk of 1.15%. Please verify Mastercard expected short fall, and the relationship between the value at risk and daily balance of power , to decide if Mastercard will be following its current price movements.
Auto-correlation | 0.34 |
Below average predictability
Mastercard has below average predictability. Overlapping area represents the amount of predictability between Mastercard time series from 8th of December 2024 to 23rd of December 2024 and 23rd of December 2024 to 7th 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 price movement. The serial correlation of 0.34 indicates that nearly 34.0% of current Mastercard price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.34 | |
| Spearman Rank Test | -0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 26.83 |
Mastercard lagged returns against current returns
Autocorrelation, which is Mastercard 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's stock expected returns. We can calculate the autocorrelation of Mastercard returns to help us make a trade decision. For example, suppose you find that Mastercard 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 |
Mastercard 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mastercard stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mastercard stock over time.
Current vs Lagged Prices |
| Timeline |
Mastercard Lagged Returns
When evaluating Mastercard's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mastercard stock have on its future price. Mastercard 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 autocorrelation shows the relationship between Mastercard stock current value and its past values and can show if there is a momentum factor associated with investing in Mastercard.
Regressed Prices |
| Timeline |
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Additional Tools for Mastercard Stock Analysis
When running Mastercard's price analysis, check to measure Mastercard'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 is operating at the current time. Most of Mastercard's value examination focuses on studying past and present price action to predict the probability of Mastercard'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's price. Additionally, you may evaluate how the addition of Mastercard to your portfolios can decrease your overall portfolio volatility.