Fauji Fertilizer (Pakistan) Market Value
| FFBL Stock | 74.43 1.04 1.38% |
| Symbol | Fauji |
Fauji Fertilizer '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 Fertilizer'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 Fertilizer.
| 11/30/2023 |
| 11/24/2024 |
If you would invest 0.00 in Fauji Fertilizer on November 30, 2023 and sell it all today you would earn a total of 0.00 from holding Fauji Fertilizer Bin or generate 0.0% return on investment in Fauji Fertilizer over 360 days.
Fauji Fertilizer 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 Fertilizer'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 Fertilizer Bin upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.84 | |||
| Information Ratio | 0.2566 | |||
| Maximum Drawdown | 12.1 | |||
| Value At Risk | (1.81) | |||
| Potential Upside | 5.58 |
Fauji Fertilizer Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fauji Fertilizer's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fauji Fertilizer's standard deviation. In reality, there are many statistical measures that can use Fauji Fertilizer historical prices to predict the future Fauji Fertilizer's volatility.| Risk Adjusted Performance | 0.2425 | |||
| Jensen Alpha | 0.8057 | |||
| Total Risk Alpha | 0.3777 | |||
| Sortino Ratio | 0.3608 | |||
| Treynor Ratio | (4.77) |
Fauji Fertilizer Bin Backtested Returns
Fauji Fertilizer appears to be very steady, given 3 months investment horizon. Fauji Fertilizer Bin secures Sharpe Ratio (or Efficiency) of 0.32, which denotes the company had a 0.32% return per unit of risk over the last 3 months. By reviewing Fauji Fertilizer's technical indicators, you can evaluate if the expected return of 0.84% is justified by implied risk. Please utilize Fauji Fertilizer's Mean Deviation of 1.94, coefficient of variation of 325.67, and Downside Deviation of 1.84 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Fauji Fertilizer holds a performance score of 25. The firm shows a Beta (market volatility) of -0.16, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Fauji Fertilizer are expected to decrease at a much lower rate. During the bear market, Fauji Fertilizer is likely to outperform the market. Please check Fauji Fertilizer'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 Fertilizer's price patterns will revert.
Auto-correlation | 0.67 |
Good predictability
Fauji Fertilizer Bin has good predictability. Overlapping area represents the amount of predictability between Fauji Fertilizer time series from 30th of November 2023 to 28th of May 2024 and 28th of May 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 Fauji Fertilizer Bin price movement. The serial correlation of 0.67 indicates that around 67.0% of current Fauji Fertilizer price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 121.64 |
Fauji Fertilizer Bin lagged returns against current returns
Autocorrelation, which is Fauji Fertilizer 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 Fertilizer's stock expected returns. We can calculate the autocorrelation of Fauji Fertilizer returns to help us make a trade decision. For example, suppose you find that Fauji Fertilizer 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 Fertilizer 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 Fertilizer stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fauji Fertilizer stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fauji Fertilizer stock over time.
Current vs Lagged Prices |
| Timeline |
Fauji Fertilizer Lagged Returns
When evaluating Fauji Fertilizer's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fauji Fertilizer stock have on its future price. Fauji Fertilizer 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 Fertilizer autocorrelation shows the relationship between Fauji Fertilizer stock current value and its past values and can show if there is a momentum factor associated with investing in Fauji Fertilizer Bin.
Regressed Prices |
| Timeline |
Pair Trading with Fauji Fertilizer
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 Fertilizer 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 Fertilizer will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Fauji Fertilizer 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 Fertilizer 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 Fertilizer - 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 Fertilizer Bin to buy it.
The correlation of Fauji Fertilizer 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 Fertilizer moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Fauji Fertilizer Bin 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 Fertilizer 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.