Fortune Brands (UK) Market Value
| 0IRN Stock | 76.57 1.08 1.43% |
| Symbol | Fortune |
Fortune Brands '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 Fortune Brands' 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 Fortune Brands.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in Fortune Brands on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding Fortune Brands Home or generate 0.0% return on investment in Fortune Brands over 720 days. Fortune Brands is related to or competes with Arrow Electronics, Odfjell Drilling, Fair Oaks, Qurate Retail, Electronic Arts, Norwegian Air, and Ryanair Holdings. Fortune Brands is entity of United Kingdom More
Fortune Brands 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 Fortune Brands' 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 Fortune Brands Home upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.47 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 9.07 | |||
| Value At Risk | (2.79) | |||
| Potential Upside | 2.83 |
Fortune Brands Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fortune Brands' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fortune Brands' standard deviation. In reality, there are many statistical measures that can use Fortune Brands historical prices to predict the future Fortune Brands' volatility.| Risk Adjusted Performance | 0.0222 | |||
| Jensen Alpha | 0.0113 | |||
| Total Risk Alpha | (0.19) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.1727 |
Fortune Brands Home Backtested Returns
Fortune Brands Home secures Sharpe Ratio (or Efficiency) of -0.0366, which denotes the company had a -0.0366% return per unit of risk over the last 3 months. Fortune Brands Home exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Fortune Brands' Mean Deviation of 1.2, coefficient of variation of 4549.0, and Downside Deviation of 1.47 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.15, which means not very significant fluctuations relative to the market. As returns on the market increase, Fortune Brands' returns are expected to increase less than the market. However, during the bear market, the loss of holding Fortune Brands is expected to be smaller as well. At this point, Fortune Brands Home has a negative expected return of -0.0581%. Please make sure to confirm Fortune Brands' jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to decide if Fortune Brands Home performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.23 |
Weak reverse predictability
Fortune Brands Home has weak reverse predictability. Overlapping area represents the amount of predictability between Fortune Brands time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd of November 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 Fortune Brands Home price movement. The serial correlation of -0.23 indicates that over 23.0% of current Fortune Brands price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | -0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 25.58 |
Fortune Brands Home lagged returns against current returns
Autocorrelation, which is Fortune Brands 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 Fortune Brands' stock expected returns. We can calculate the autocorrelation of Fortune Brands returns to help us make a trade decision. For example, suppose you find that Fortune Brands 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 |
Fortune Brands 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 Fortune Brands stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fortune Brands stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fortune Brands stock over time.
Current vs Lagged Prices |
| Timeline |
Fortune Brands Lagged Returns
When evaluating Fortune Brands' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fortune Brands stock have on its future price. Fortune Brands 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, Fortune Brands autocorrelation shows the relationship between Fortune Brands stock current value and its past values and can show if there is a momentum factor associated with investing in Fortune Brands Home.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Fortune Stock Analysis
When running Fortune Brands' price analysis, check to measure Fortune Brands' 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 Fortune Brands is operating at the current time. Most of Fortune Brands' value examination focuses on studying past and present price action to predict the probability of Fortune Brands' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fortune Brands' price. Additionally, you may evaluate how the addition of Fortune Brands to your portfolios can decrease your overall portfolio volatility.