Faes Farma (Spain) Market Value
| FAE Stock | EUR 3.46 0.01 0.29% |
| Symbol | Faes |
Faes Farma '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 Faes Farma'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 Faes Farma.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in Faes Farma on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding Faes Farma SA or generate 0.0% return on investment in Faes Farma over 720 days. Faes Farma is related to or competes with ENCE Energa, Almirall, Viscofan, Vidrala SA, and Ebro Foods. Faes Farma, S.A., a pharmaceutical company, researches, develops, produces, and commercializes pharmaceutical products a... More
Faes Farma 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 Faes Farma'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 Faes Farma SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 4.09 | |||
| Value At Risk | (1.61) | |||
| Potential Upside | 1.13 |
Faes Farma Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Faes Farma's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Faes Farma's standard deviation. In reality, there are many statistical measures that can use Faes Farma historical prices to predict the future Faes Farma's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.19) | |||
| Treynor Ratio | (1.72) |
Faes Farma SA Backtested Returns
Faes Farma SA secures Sharpe Ratio (or Efficiency) of -0.089, which denotes the company had a -0.089% return per unit of risk over the last 3 months. Faes Farma SA exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Faes Farma's Variance of 0.6898, standard deviation of 0.8305, and Mean Deviation of 0.6552 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0485, which means not very significant fluctuations relative to the market. As returns on the market increase, Faes Farma's returns are expected to increase less than the market. However, during the bear market, the loss of holding Faes Farma is expected to be smaller as well. At this point, Faes Farma SA has a negative expected return of -0.0745%. Please make sure to confirm Faes Farma's treynor ratio, kurtosis, and the relationship between the jensen alpha and potential upside , to decide if Faes Farma SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.35 |
Poor reverse predictability
Faes Farma SA has poor reverse predictability. Overlapping area represents the amount of predictability between Faes Farma 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 Faes Farma SA price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current Faes Farma price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | -0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Faes Farma SA lagged returns against current returns
Autocorrelation, which is Faes Farma 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 Faes Farma's stock expected returns. We can calculate the autocorrelation of Faes Farma returns to help us make a trade decision. For example, suppose you find that Faes Farma 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 |
Faes Farma 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 Faes Farma stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Faes Farma stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Faes Farma stock over time.
Current vs Lagged Prices |
| Timeline |
Faes Farma Lagged Returns
When evaluating Faes Farma's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Faes Farma stock have on its future price. Faes Farma 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, Faes Farma autocorrelation shows the relationship between Faes Farma stock current value and its past values and can show if there is a momentum factor associated with investing in Faes Farma SA.
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.Other Information on Investing in Faes Stock
Faes Farma financial ratios help investors to determine whether Faes 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 Faes with respect to the benefits of owning Faes Farma security.