Magellan Financial (Australia) Market Value
| MFG Stock | 11.27 0.56 5.23% |
| Symbol | Magellan |
Magellan Financial '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 Magellan Financial'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 Magellan Financial.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Magellan Financial on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Magellan Financial Group or generate 0.0% return on investment in Magellan Financial over 30 days. Magellan Financial is related to or competes with Westpac Banking, Adriatic Metals, Australian Agricultural, and VanEck FTSE. Magellan Financial is entity of Australia More
Magellan Financial 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 Magellan Financial'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 Magellan Financial Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.83 | |||
| Information Ratio | 0.0409 | |||
| Maximum Drawdown | 11.25 | |||
| Value At Risk | (2.64) | |||
| Potential Upside | 3.55 |
Magellan Financial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Magellan Financial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Magellan Financial's standard deviation. In reality, there are many statistical measures that can use Magellan Financial historical prices to predict the future Magellan Financial's volatility.| Risk Adjusted Performance | 0.0847 | |||
| Jensen Alpha | 0.0585 | |||
| Total Risk Alpha | (0.10) | |||
| Sortino Ratio | 0.045 | |||
| Treynor Ratio | 0.1628 |
Magellan Financial Backtested Returns
Magellan Financial appears to be not too volatile, given 3 months investment horizon. Magellan Financial 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 Magellan Financial, which you can use to evaluate the volatility of the firm. Please exercise Magellan Financial's Mean Deviation of 1.58, risk adjusted performance of 0.0847, and Downside Deviation of 1.83 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Magellan Financial holds a performance score of 9. The company secures a Beta (Market Risk) of 1.21, which conveys a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Magellan Financial will likely underperform. Please check Magellan Financial's downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to make a quick decision on whether Magellan Financial's current price movements will revert.
Auto-correlation | -0.41 |
Modest reverse predictability
Magellan Financial Group has modest reverse predictability. Overlapping area represents the amount of predictability between Magellan Financial time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd 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 Magellan Financial price movement. The serial correlation of -0.41 indicates that just about 41.0% of current Magellan Financial price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.41 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Magellan Financial lagged returns against current returns
Autocorrelation, which is Magellan Financial 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 Magellan Financial's stock expected returns. We can calculate the autocorrelation of Magellan Financial returns to help us make a trade decision. For example, suppose you find that Magellan Financial 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 |
Magellan Financial 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 Magellan Financial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Magellan Financial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Magellan Financial stock over time.
Current vs Lagged Prices |
| Timeline |
Magellan Financial Lagged Returns
When evaluating Magellan Financial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Magellan Financial stock have on its future price. Magellan Financial 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, Magellan Financial autocorrelation shows the relationship between Magellan Financial stock current value and its past values and can show if there is a momentum factor associated with investing in Magellan Financial Group.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Magellan Stock Analysis
When running Magellan Financial's price analysis, check to measure Magellan Financial'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 Magellan Financial is operating at the current time. Most of Magellan Financial's value examination focuses on studying past and present price action to predict the probability of Magellan Financial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Magellan Financial's price. Additionally, you may evaluate how the addition of Magellan Financial to your portfolios can decrease your overall portfolio volatility.