Frieslandcampina (Pakistan) Market Value
| FCEPL Stock | 80.86 4.24 5.53% |
| Symbol | Frieslandcampina |
Frieslandcampina '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 Frieslandcampina'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 Frieslandcampina.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Frieslandcampina on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Frieslandcampina or generate 0.0% return on investment in Frieslandcampina over 30 days.
Frieslandcampina 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 Frieslandcampina'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 Frieslandcampina upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.75 | |||
| Information Ratio | 0.1259 | |||
| Maximum Drawdown | 14.87 | |||
| Value At Risk | (2.87) | |||
| Potential Upside | 8.91 |
Frieslandcampina Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Frieslandcampina's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Frieslandcampina's standard deviation. In reality, there are many statistical measures that can use Frieslandcampina historical prices to predict the future Frieslandcampina's volatility.| Risk Adjusted Performance | 0.136 | |||
| Jensen Alpha | 0.5269 | |||
| Total Risk Alpha | 0.0414 | |||
| Sortino Ratio | 0.2153 | |||
| Treynor Ratio | (1.66) |
Frieslandcampina Backtested Returns
Frieslandcampina appears to be very steady, given 3 months investment horizon. Frieslandcampina secures Sharpe Ratio (or Efficiency) of 0.16, which denotes the company had a 0.16% return per unit of risk over the last 3 months. By reviewing Frieslandcampina's technical indicators, you can evaluate if the expected return of 0.62% is justified by implied risk. Please utilize Frieslandcampina's Mean Deviation of 1.89, coefficient of variation of 596.18, and Downside Deviation of 1.75 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Frieslandcampina holds a performance score of 12. The firm shows a Beta (market volatility) of -0.3, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Frieslandcampina are expected to decrease at a much lower rate. During the bear market, Frieslandcampina is likely to outperform the market. Please check Frieslandcampina's potential upside, and the relationship between the total risk alpha and kurtosis , to make a quick decision on whether Frieslandcampina's price patterns will revert.
Auto-correlation | -0.38 |
Poor reverse predictability
Frieslandcampina has poor reverse predictability. Overlapping area represents the amount of predictability between Frieslandcampina time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 Frieslandcampina price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Frieslandcampina price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 11.43 |
Frieslandcampina lagged returns against current returns
Autocorrelation, which is Frieslandcampina 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 Frieslandcampina's stock expected returns. We can calculate the autocorrelation of Frieslandcampina returns to help us make a trade decision. For example, suppose you find that Frieslandcampina 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 |
Frieslandcampina 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 Frieslandcampina stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Frieslandcampina stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Frieslandcampina stock over time.
Current vs Lagged Prices |
| Timeline |
Frieslandcampina Lagged Returns
When evaluating Frieslandcampina's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Frieslandcampina stock have on its future price. Frieslandcampina 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, Frieslandcampina autocorrelation shows the relationship between Frieslandcampina stock current value and its past values and can show if there is a momentum factor associated with investing in Frieslandcampina.
Regressed Prices |
| Timeline |
Pair Trading with Frieslandcampina
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 Frieslandcampina 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 Frieslandcampina will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Frieslandcampina could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Frieslandcampina 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 Frieslandcampina - 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 Frieslandcampina to buy it.
The correlation of Frieslandcampina 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 Frieslandcampina moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Frieslandcampina 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 Frieslandcampina 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.