FRASERS PROPERTY (Germany) Market Value
| 1IQ Stock | EUR 0.64 0.00 0.00% |
| Symbol | FRASERS |
FRASERS PROPERTY '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 FRASERS PROPERTY'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 FRASERS PROPERTY.
| 08/29/2024 |
| 11/27/2024 |
If you would invest 0.00 in FRASERS PROPERTY on August 29, 2024 and sell it all today you would earn a total of 0.00 from holding FRASERS PROPERTY or generate 0.0% return on investment in FRASERS PROPERTY over 90 days. FRASERS PROPERTY is related to or competes with Sumitomo Mitsui, WIMFARM SA, PACIFIC ONLINE, CarsalesCom, MUTUIONLINE, AUST AGRICULTURAL, and Salesforce. Frasers Property Limited, an investment holding company, owns, develops, and manages an integrated portfolio of properti... More
FRASERS PROPERTY 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 FRASERS PROPERTY'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 FRASERS PROPERTY upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.68 | |||
| Information Ratio | 0.0697 | |||
| Maximum Drawdown | 10.63 | |||
| Value At Risk | (1.79) | |||
| Potential Upside | 1.85 |
FRASERS PROPERTY Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FRASERS PROPERTY's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FRASERS PROPERTY's standard deviation. In reality, there are many statistical measures that can use FRASERS PROPERTY historical prices to predict the future FRASERS PROPERTY's volatility.| Risk Adjusted Performance | 0.1161 | |||
| Jensen Alpha | 0.2407 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.0453 | |||
| Treynor Ratio | 26.28 |
FRASERS PROPERTY Backtested Returns
FRASERS PROPERTY appears to be out of control, given 3 months investment horizon. FRASERS PROPERTY retains Efficiency (Sharpe Ratio) of 0.14, which denotes the company had a 0.14% return per unit of risk over the last 3 months. We have found twenty-five technical indicators for FRASERS PROPERTY, which you can use to evaluate the volatility of the firm. Please utilize FRASERS PROPERTY's Downside Deviation of 2.68, market risk adjusted performance of 26.29, and Coefficient Of Variation of 691.95 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, FRASERS PROPERTY holds a performance score of 11. The firm owns a Beta (Systematic Risk) of 0.0092, which means not very significant fluctuations relative to the market. As returns on the market increase, FRASERS PROPERTY's returns are expected to increase less than the market. However, during the bear market, the loss of holding FRASERS PROPERTY is expected to be smaller as well. Please check FRASERS PROPERTY's semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to make a quick decision on whether FRASERS PROPERTY's current price history will revert.
Auto-correlation | 0.66 |
Good predictability
FRASERS PROPERTY has good predictability. Overlapping area represents the amount of predictability between FRASERS PROPERTY time series from 29th of August 2024 to 13th of October 2024 and 13th of October 2024 to 27th 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 FRASERS PROPERTY price movement. The serial correlation of 0.66 indicates that around 66.0% of current FRASERS PROPERTY price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.92 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
FRASERS PROPERTY lagged returns against current returns
Autocorrelation, which is FRASERS PROPERTY 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 FRASERS PROPERTY's stock expected returns. We can calculate the autocorrelation of FRASERS PROPERTY returns to help us make a trade decision. For example, suppose you find that FRASERS PROPERTY 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 |
FRASERS PROPERTY 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 FRASERS PROPERTY stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FRASERS PROPERTY stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FRASERS PROPERTY stock over time.
Current vs Lagged Prices |
| Timeline |
FRASERS PROPERTY Lagged Returns
When evaluating FRASERS PROPERTY's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FRASERS PROPERTY stock have on its future price. FRASERS PROPERTY 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, FRASERS PROPERTY autocorrelation shows the relationship between FRASERS PROPERTY stock current value and its past values and can show if there is a momentum factor associated with investing in FRASERS PROPERTY.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in FRASERS Stock
FRASERS PROPERTY financial ratios help investors to determine whether FRASERS Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in FRASERS with respect to the benefits of owning FRASERS PROPERTY security.