Ferrovial (Spain) Market Value
| FER Stock | EUR 37.30 0.58 1.58% |
| Symbol | Ferrovial |
Ferrovial '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 Ferrovial'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 Ferrovial.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in Ferrovial on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding Ferrovial or generate 0.0% return on investment in Ferrovial over 30 days. Ferrovial is related to or competes with ACS Actividades, Acciona, Acerinox, Endesa SA, and Enags SA. Ferrovial, S.A., together with its subsidiaries, operates as an infrastructure operator and municipal services company w... More
Ferrovial 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 Ferrovial'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 Ferrovial upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.27 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 6.3 | |||
| Value At Risk | (1.74) | |||
| Potential Upside | 1.72 |
Ferrovial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ferrovial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ferrovial's standard deviation. In reality, there are many statistical measures that can use Ferrovial historical prices to predict the future Ferrovial's volatility.| Risk Adjusted Performance | 0.0255 | |||
| Jensen Alpha | 0.0026 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.1358 |
Ferrovial Backtested Returns
At this point, Ferrovial is very steady. Ferrovial secures Sharpe Ratio (or Efficiency) of 0.0451, which denotes the company had a 0.0451% return per unit of risk over the last 3 months. We have found thirty technical indicators for Ferrovial, which you can use to evaluate the volatility of the firm. Please confirm Ferrovial's Mean Deviation of 0.8326, coefficient of variation of 3442.45, and Downside Deviation of 1.27 to check if the risk estimate we provide is consistent with the expected return of 0.0508%. Ferrovial has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.17, which means not very significant fluctuations relative to the market. As returns on the market increase, Ferrovial's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ferrovial is expected to be smaller as well. Ferrovial right now shows a risk of 1.13%. Please confirm Ferrovial potential upside, skewness, and the relationship between the maximum drawdown and semi variance , to decide if Ferrovial will be following its price patterns.
Auto-correlation | -0.77 |
Almost perfect reverse predictability
Ferrovial has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Ferrovial time series from 25th of October 2024 to 9th of November 2024 and 9th of November 2024 to 24th 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 Ferrovial price movement. The serial correlation of -0.77 indicates that around 77.0% of current Ferrovial price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.77 | |
| Spearman Rank Test | -0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Ferrovial lagged returns against current returns
Autocorrelation, which is Ferrovial 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 Ferrovial's stock expected returns. We can calculate the autocorrelation of Ferrovial returns to help us make a trade decision. For example, suppose you find that Ferrovial 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 |
Ferrovial 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 Ferrovial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ferrovial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ferrovial stock over time.
Current vs Lagged Prices |
| Timeline |
Ferrovial Lagged Returns
When evaluating Ferrovial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ferrovial stock have on its future price. Ferrovial 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, Ferrovial autocorrelation shows the relationship between Ferrovial stock current value and its past values and can show if there is a momentum factor associated with investing in Ferrovial.
Regressed Prices |
| Timeline |
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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 Ferrovial Stock
Ferrovial financial ratios help investors to determine whether Ferrovial 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 Ferrovial with respect to the benefits of owning Ferrovial security.