Macerich Stock Volatility

MAC
 Stock
  

USD 12.62  0.23  1.86%   

Macerich appears to be not too volatile, given 3 months investment horizon. Macerich has Sharpe Ratio of 0.15, which conveys that the firm had 0.15% of return per unit of risk over the last 3 months. Our standpoint towards estimating the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for Macerich, which you can use to evaluate the future volatility of the firm. Please exercise Macerich's Downside Deviation of 2.8, risk adjusted performance of 0.232, and Mean Deviation of 2.37 to check out if our risk estimates are consistent with your expectations.
  
Macerich Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Macerich daily returns, and it is calculated using variance and standard deviation. We also use Macerich's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Macerich volatility.

540 Days Market Risk

Not too volatile

Chance of Distress

540 Days Economic Sensitivity

Responds to the market

ESG Sustainability

While most ESG disclosures are voluntary, Macerich's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Macerich's managers and investors.
Environment Score
Governance Score
Social Score
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Macerich can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Macerich at lower prices. For example, an investor can purchase Macerich stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Macerich's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with Macerich

+0.91FRTFederal Realty InvestmentPairCorr
+0.87KIMKimco RealtyPairCorr
+0.78NNNNational Retail PropPairCorr

Moving against Macerich

-0.64BKDBrookdale Senior LivingPairCorr
-0.54AVBAvalonBay CommunitiesPairCorr

Macerich Market Sensitivity And Downside Risk

Macerich's beta coefficient measures the volatility of Macerich stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Macerich stock's returns against your selected market. In other words, Macerich's beta of 1.56 provides an investor with an approximation of how much risk Macerich stock can potentially add to one of your existing portfolios.
Macerich Company currently demonstrates below-average downside deviation. It has Information Ratio of 0.13 and Jensen Alpha of 0.38. However, we advise investors to further question Macerich Company expected returns to ensure all indicators are consistent with the current outlook about its relatively low value at risk. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Macerich's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Macerich's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall.
3 Months Beta |Analyze Macerich Demand Trend
Check current 90 days Macerich correlation with market (NYSE Composite)

Macerich Beta

    
  1.56  
Macerich standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  3.26  
It is essential to understand the difference between upside risk (as represented by Macerich's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Macerich's daily returns or price. Since the actual investment returns on holding a position in macerich stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Macerich.

Using Macerich Put Option to Manage Risk

Put options written on Macerich grant holders of the option the right to sell a specified amount of Macerich at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Macerich Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Macerich's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Macerich will be realized, the loss incurred will be offset by the profits made with the option trade.

Macerich's PUT expiring on 2022-12-16

   Profit   
Share
       Macerich Price At Expiration  

Current Macerich Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-12-16 PUT at $25.0-0.9270.02643002022-12-1612.5 - 13.00.0View
Put
2022-12-16 PUT at $19.0-0.90580.0461172022-12-166.5 - 7.00.0View
Put
2022-12-16 PUT at $17.0-0.88990.0643162022-12-164.5 - 5.04.0View
Put
2022-12-16 PUT at $16.0-0.87710.0807272022-12-163.5 - 4.03.3View
Put
2022-12-16 PUT at $15.0-0.85760.109112022-12-162.55 - 2.954.0View
Put
2022-12-16 PUT at $14.0-0.82320.1689732022-12-161.6 - 1.91.15View
Put
2022-12-16 PUT at $13.0-0.7030.33229532022-12-160.75 - 0.850.65View
Put
2022-12-16 PUT at $12.0-0.35280.31134732022-12-160.2 - 0.30.3View
Put
2022-12-16 PUT at $11.0-0.09080.14336412022-12-160.05 - 0.10.05View
View All Macerich Options

Macerich Stock Volatility Analysis

Volatility refers to the frequency at which Macerich stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Macerich's price changes. Investors will then calculate the volatility of Macerich's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Macerich's volatility:

Historical Volatility

This type of stock volatility measures Macerich's fluctuations based on previous trends. It's commonly used to predict Macerich's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Macerich's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Macerich's to be redeemed at a future date.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Macerich high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Macerich closing price as input.
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Macerich Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.5618 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Macerich will likely underperform.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Macerich or Equity Real Estate Investment Trusts (REITs) sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Macerich's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Macerich stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.3773, implying that it can generate a 0.38 percent excess return over NYSE Composite after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Macerich's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how macerich stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Macerich Price Volatility?

Several factors can influence a Stock's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Macerich Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Macerich or Equity Real Estate Investment Trusts (REITs) sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Macerich's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Macerich stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Considering the 90-day investment horizon the coefficient of variation of Macerich is 678.89. The daily returns are distributed with a variance of 10.61 and standard deviation of 3.26. The mean deviation of Macerich Company is currently at 2.36. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 1.5
α
Alpha over NYSE Composite
0.38
β
Beta against NYSE Composite1.56
σ
Overall volatility
3.26
Ir
Information ratio 0.13

Macerich Stock Return Volatility

Macerich historical daily return volatility represents how much of Macerich stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company has volatility of 3.2569% on return distribution over 90 days investment horizon. By contrast, NYSE Composite accepts 1.5073% volatility on return distribution over the 90 days horizon.
 Performance (%) 
       Timeline  

About Macerich Volatility

Volatility is a rate at which the price of Macerich or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Macerich may increase or decrease. In other words, similar to Macerich's beta indicator, it measures the risk of Macerich and helps estimate the fluctuations that may happen in a short period of time. So if prices of Macerich fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Last ReportedProjected for 2022
Market Capitalization3.7 B5.1 B

Macerich Investment Opportunity

Macerich Company has a volatility of 3.26 and is 2.16 times more volatile than NYSE Composite. 28  of all equities and portfolios are less risky than Macerich. Compared to the overall equity markets, volatility of historical daily returns of Macerich Company is lower than 28 () of all global equities and portfolios over the last 90 days. Use Macerich Company to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a large bullish trend. Check odds of Macerich to be traded at $13.88 in 90 days.

Poor diversification

The correlation between Macerich Company and NYA is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Macerich Company and NYA in the same portfolio, assuming nothing else is changed.

Macerich Additional Risk Indicators

The analysis of Macerich's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Macerich's investment and either accepting that risk or mitigating it. Along with some common measures of Macerich stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Macerich Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Macerich as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Macerich's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Macerich's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Macerich Company.
Additionally, see Correlation Analysis. Note that the Macerich information on this page should be used as a complementary analysis to other Macerich'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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.

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When running Macerich price analysis, check to measure Macerich'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 Macerich is operating at the current time. Most of Macerich's value examination focuses on studying past and present price action to predict the probability of Macerich's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Macerich's price. Additionally, you may evaluate how the addition of Macerich to your portfolios can decrease your overall portfolio volatility.
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Is Macerich's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Macerich. If investors know Macerich will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Macerich listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Market Capitalization
2.8 B
Quarterly Revenue Growth YOY
0.031
Return On Assets
0.0092
Return On Equity
(0.0301) 
The market value of Macerich is measured differently than its book value, which is the value of Macerich that is recorded on the company's balance sheet. Investors also form their own opinion of Macerich's value that differs from its market value or its book value, called intrinsic value, which is Macerich's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Macerich's market value can be influenced by many factors that don't directly affect Macerich's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Macerich's value and its price as these two are different measures arrived at by different means. Investors typically determine Macerich value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Macerich's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.