MAGNA INTL (Germany) Market Value
| MGA Stock | EUR 41.06 0.35 0.86% |
| Symbol | MAGNA |
MAGNA INTL '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 MAGNA INTL'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 MAGNA INTL.
| 05/04/2024 |
| 06/03/2024 |
If you would invest 0.00 in MAGNA INTL on May 4, 2024 and sell it all today you would earn a total of 0.00 from holding MAGNA INTL or generate 0.0% return on investment in MAGNA INTL over 30 days. MAGNA INTL is related to or competes with MGIC INVESTMENT, Mitsubishi Materials, ECHO INVESTMENT, NEWELL RUBBERMAID, Nano One, Tokentus Investment, and Gladstone Investment. More
MAGNA INTL 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 MAGNA INTL'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 MAGNA INTL upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 7.48 | |||
| Value At Risk | (2.74) | |||
| Potential Upside | 1.83 |
MAGNA INTL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MAGNA INTL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MAGNA INTL's standard deviation. In reality, there are many statistical measures that can use MAGNA INTL historical prices to predict the future MAGNA INTL's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.27) | |||
| Total Risk Alpha | (0.34) | |||
| Treynor Ratio | (1.05) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of MAGNA INTL'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.
MAGNA INTL Backtested Returns
MAGNA INTL has Sharpe Ratio of -0.22, which conveys that the company had a -0.22% return per unit of risk over the last 3 months. MAGNA INTL exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify MAGNA INTL's Standard Deviation of 1.35, mean deviation of 0.9913, and Coefficient Of Variation of (540.69) to check out the risk estimate we provide. The firm secures a Beta (Market Risk) of 0.25, which conveys not very significant fluctuations relative to the market. As returns on the market increase, MAGNA INTL's returns are expected to increase less than the market. However, during the bear market, the loss of holding MAGNA INTL is expected to be smaller as well. MAGNA INTL has an expected return of -0.29%. Please make sure to verify MAGNA INTL variance, treynor ratio, daily balance of power, as well as the relationship between the jensen alpha and skewness , to decide if MAGNA INTL performance from the past will be repeated in the future.
Auto-correlation | -0.6 |
Good reverse predictability
MAGNA INTL has good reverse predictability. Overlapping area represents the amount of predictability between MAGNA INTL time series from 4th of May 2024 to 19th of May 2024 and 19th of May 2024 to 3rd of June 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 MAGNA INTL price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current MAGNA INTL price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 1.08 |
MAGNA INTL lagged returns against current returns
Autocorrelation, which is MAGNA INTL 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 MAGNA INTL's stock expected returns. We can calculate the autocorrelation of MAGNA INTL returns to help us make a trade decision. For example, suppose you find that MAGNA INTL 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 |
MAGNA INTL 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 MAGNA INTL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MAGNA INTL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MAGNA INTL stock over time.
Current vs Lagged Prices |
| Timeline |
MAGNA INTL Lagged Returns
When evaluating MAGNA INTL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MAGNA INTL stock have on its future price. MAGNA INTL 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, MAGNA INTL autocorrelation shows the relationship between MAGNA INTL stock current value and its past values and can show if there is a momentum factor associated with investing in MAGNA INTL.
Regressed Prices |
| Timeline |
Pair Trading with MAGNA INTL
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if MAGNA INTL position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in MAGNA INTL will appreciate offsetting losses from the drop in the long position's value.Moving against MAGNA Stock
| 0.74 | APC | Apple Inc | PairCorr |
| 0.74 | APC | Apple Inc | PairCorr |
| 0.74 | APC | Apple Inc | PairCorr |
| 0.74 | APC | Apple Inc | PairCorr |
| 0.73 | APC | Apple Inc | PairCorr |
The ability to find closely correlated positions to MAGNA INTL could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace MAGNA INTL when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back MAGNA INTL - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling MAGNA INTL to buy it.
The correlation of MAGNA INTL is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as MAGNA INTL moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if MAGNA INTL moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for MAGNA INTL can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out MAGNA INTL Correlation, MAGNA INTL Volatility and MAGNA INTL Alpha and Beta module to complement your research on MAGNA INTL. Note that the MAGNA INTL information on this page should be used as a complementary analysis to other MAGNA INTL's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Stocks Directory module to find actively traded stocks across global markets.
Complementary Tools for MAGNA Stock analysis
When running MAGNA INTL's price analysis, check to measure MAGNA INTL'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 MAGNA INTL is operating at the current time. Most of MAGNA INTL's value examination focuses on studying past and present price action to predict the probability of MAGNA INTL's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move MAGNA INTL's price. Additionally, you may evaluate how the addition of MAGNA INTL to your portfolios can decrease your overall portfolio volatility.
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MAGNA INTL technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.