Fauji Cement (Pakistan) Market Value
| FCCL Stock | 39.00 0.03 0.08% |
| Symbol | Fauji |
Fauji Cement '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 Fauji Cement'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 Fauji Cement.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Fauji Cement on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Fauji Cement or generate 0.0% return on investment in Fauji Cement over 30 days. Fauji Cement is related to or competes with Oil, Pakistan State, Pakistan Petroleum, Fauji Fertilizer, Habib Bank, Mari Petroleum, and MCB Bank. More
Fauji Cement 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 Fauji Cement'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 Fauji Cement upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.33 | |||
| Information Ratio | 0.2532 | |||
| Maximum Drawdown | 15.66 | |||
| Value At Risk | (3.09) | |||
| Potential Upside | 5.3 |
Fauji Cement Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fauji Cement's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fauji Cement's standard deviation. In reality, there are many statistical measures that can use Fauji Cement historical prices to predict the future Fauji Cement's volatility.| Risk Adjusted Performance | 0.221 | |||
| Jensen Alpha | 0.9559 | |||
| Total Risk Alpha | 0.3933 | |||
| Sortino Ratio | 0.3202 | |||
| Treynor Ratio | (1.03) |
Fauji Cement Backtested Returns
Fauji Cement appears to be not too volatile, given 3 months investment horizon. Fauji Cement secures Sharpe Ratio (or Efficiency) of 0.29, which denotes the company had a 0.29% return per unit of risk over the last 3 months. By reviewing Fauji Cement's technical indicators, you can evaluate if the expected return of 0.85% is justified by implied risk. Please utilize Fauji Cement's Downside Deviation of 2.33, coefficient of variation of 338.48, and Mean Deviation of 2.18 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Fauji Cement holds a performance score of 22. The firm shows a Beta (market volatility) of -0.84, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Fauji Cement are expected to decrease at a much lower rate. During the bear market, Fauji Cement is likely to outperform the market. Please check Fauji Cement's sortino ratio, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to make a quick decision on whether Fauji Cement's price patterns will revert.
Auto-correlation | 0.09 |
Virtually no predictability
Fauji Cement has virtually no predictability. Overlapping area represents the amount of predictability between Fauji Cement time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th of December 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 Fauji Cement price movement. The serial correlation of 0.09 indicates that less than 9.0% of current Fauji Cement price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 3.95 |
Fauji Cement lagged returns against current returns
Autocorrelation, which is Fauji Cement 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 Fauji Cement's stock expected returns. We can calculate the autocorrelation of Fauji Cement returns to help us make a trade decision. For example, suppose you find that Fauji Cement 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 |
Fauji Cement 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 Fauji Cement stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fauji Cement stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fauji Cement stock over time.
Current vs Lagged Prices |
| Timeline |
Fauji Cement Lagged Returns
When evaluating Fauji Cement's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fauji Cement stock have on its future price. Fauji Cement 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, Fauji Cement autocorrelation shows the relationship between Fauji Cement stock current value and its past values and can show if there is a momentum factor associated with investing in Fauji Cement.
Regressed Prices |
| Timeline |
Pair Trading with Fauji Cement
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 Fauji Cement 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 Fauji Cement will appreciate offsetting losses from the drop in the long position's value.Moving together with Fauji Stock
| 0.8 | HBL | Habib Bank | PairCorr |
| 0.69 | NBP | National Bank | PairCorr |
| 0.93 | UBL | United Bank | PairCorr |
| 0.86 | MCB | MCB Bank | PairCorr |
| 0.82 | ABL | Allied Bank | PairCorr |
The ability to find closely correlated positions to Fauji Cement could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Fauji Cement 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 Fauji Cement - 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 Fauji Cement to buy it.
The correlation of Fauji Cement 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 Fauji Cement moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Fauji Cement 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 Fauji Cement 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.Other Information on Investing in Fauji Stock
Fauji Cement financial ratios help investors to determine whether Fauji 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 Fauji with respect to the benefits of owning Fauji Cement security.