Fagron NV (Belgium) Market Value
| FAGR Stock | EUR 19.00 0.38 2.04% |
| Symbol | Fagron |
Fagron NV '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 Fagron NV'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 Fagron NV.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Fagron NV on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Fagron NV or generate 0.0% return on investment in Fagron NV over 30 days. Fagron NV is related to or competes with Tessenderlo, NV Bekaert, Ontex Group, and Argen X. Fagron NV, a pharmaceutical compounding company, provides personalized pharmaceutical care to hospitals, pharmacies, cli... More
Fagron NV 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 Fagron NV'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 Fagron NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 5.84 | |||
| Value At Risk | (1.75) | |||
| Potential Upside | 1.38 |
Fagron NV Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fagron NV's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fagron NV's standard deviation. In reality, there are many statistical measures that can use Fagron NV historical prices to predict the future Fagron NV's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.18) | |||
| Treynor Ratio | (0.11) |
Fagron NV Backtested Returns
Currently, Fagron NV is very steady. Fagron NV secures Sharpe Ratio (or Efficiency) of 0.0166, which denotes the company had a 0.0166% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for Fagron NV, which you can use to evaluate the volatility of the firm. Please confirm Fagron NV's Mean Deviation of 0.6494, variance of 0.878, and Standard Deviation of 0.937 to check if the risk estimate we provide is consistent with the expected return of 0.0163%. Fagron NV has a performance score of 1 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.31, which means possible diversification benefits within a given portfolio. As returns on the market increase, Fagron NV's returns are expected to increase less than the market. However, during the bear market, the loss of holding Fagron NV is expected to be smaller as well. Fagron NV right now shows a risk of 0.98%. Please confirm Fagron NV jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Fagron NV will be following its price patterns.
Auto-correlation | 0.38 |
Below average predictability
Fagron NV has below average predictability. Overlapping area represents the amount of predictability between Fagron NV time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th 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 Fagron NV price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Fagron NV price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Fagron NV lagged returns against current returns
Autocorrelation, which is Fagron NV 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 Fagron NV's stock expected returns. We can calculate the autocorrelation of Fagron NV returns to help us make a trade decision. For example, suppose you find that Fagron NV 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 |
Fagron NV 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 Fagron NV stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fagron NV stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fagron NV stock over time.
Current vs Lagged Prices |
| Timeline |
Fagron NV Lagged Returns
When evaluating Fagron NV's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fagron NV stock have on its future price. Fagron NV 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, Fagron NV autocorrelation shows the relationship between Fagron NV stock current value and its past values and can show if there is a momentum factor associated with investing in Fagron NV.
Regressed Prices |
| Timeline |
Pair Trading with Fagron NV
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 Fagron NV 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 Fagron NV will appreciate offsetting losses from the drop in the long position's value.Moving against Fagron Stock
The ability to find closely correlated positions to Fagron NV could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Fagron NV 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 Fagron NV - 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 Fagron NV to buy it.
The correlation of Fagron NV 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 Fagron NV moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Fagron NV 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 Fagron NV 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.Additional Tools for Fagron Stock Analysis
When running Fagron NV's price analysis, check to measure Fagron NV'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 Fagron NV is operating at the current time. Most of Fagron NV's value examination focuses on studying past and present price action to predict the probability of Fagron NV's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fagron NV's price. Additionally, you may evaluate how the addition of Fagron NV to your portfolios can decrease your overall portfolio volatility.