FUJIFILM Holdings (Germany) Market Value
| FJI Stock | EUR 21.13 0.24 1.12% |
| Symbol | FUJIFILM |
FUJIFILM Holdings '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 FUJIFILM Holdings' 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 FUJIFILM Holdings.
| 11/19/2023 |
| 12/13/2024 |
If you would invest 0.00 in FUJIFILM Holdings on November 19, 2023 and sell it all today you would earn a total of 0.00 from holding FUJIFILM Holdings or generate 0.0% return on investment in FUJIFILM Holdings over 390 days. FUJIFILM Holdings is related to or competes with Avery Dennison, Konica Minolta, KOKUYO CO, Takkt AG, and Takkt AG. FUJIFILM Holdings Corporation develops, manufactures, sells, and services imaging, healthcare and material, and document... More
FUJIFILM Holdings 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 FUJIFILM Holdings' 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 FUJIFILM Holdings upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 8.92 | |||
| Value At Risk | (4.13) | |||
| Potential Upside | 2.94 |
FUJIFILM Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FUJIFILM Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FUJIFILM Holdings' standard deviation. In reality, there are many statistical measures that can use FUJIFILM Holdings historical prices to predict the future FUJIFILM Holdings' volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.24) | |||
| Total Risk Alpha | (0.48) | |||
| Treynor Ratio | (0.44) |
FUJIFILM Holdings Backtested Returns
FUJIFILM Holdings secures Sharpe Ratio (or Efficiency) of -0.0859, which denotes the company had a -0.0859% return per unit of risk over the last 3 months. FUJIFILM Holdings exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm FUJIFILM Holdings' Standard Deviation of 2.05, mean deviation of 1.63, and Coefficient Of Variation of (1,105) to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.44, which means possible diversification benefits within a given portfolio. As returns on the market increase, FUJIFILM Holdings' returns are expected to increase less than the market. However, during the bear market, the loss of holding FUJIFILM Holdings is expected to be smaller as well. At this point, FUJIFILM Holdings has a negative expected return of -0.18%. Please make sure to confirm FUJIFILM Holdings' treynor ratio, value at risk, and the relationship between the total risk alpha and maximum drawdown , to decide if FUJIFILM Holdings performance from the past will be repeated at future time.
Auto-correlation | -0.15 |
Insignificant reverse predictability
FUJIFILM Holdings has insignificant reverse predictability. Overlapping area represents the amount of predictability between FUJIFILM Holdings time series from 19th of November 2023 to 1st of June 2024 and 1st of June 2024 to 13th 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 FUJIFILM Holdings price movement. The serial correlation of -0.15 indicates that less than 15.0% of current FUJIFILM Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 1.45 |
FUJIFILM Holdings lagged returns against current returns
Autocorrelation, which is FUJIFILM Holdings 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 FUJIFILM Holdings' stock expected returns. We can calculate the autocorrelation of FUJIFILM Holdings returns to help us make a trade decision. For example, suppose you find that FUJIFILM Holdings 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 |
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FUJIFILM Holdings 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 FUJIFILM Holdings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FUJIFILM Holdings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FUJIFILM Holdings stock over time.
Current vs Lagged Prices |
| Timeline |
FUJIFILM Holdings Lagged Returns
When evaluating FUJIFILM Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FUJIFILM Holdings stock have on its future price. FUJIFILM Holdings 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, FUJIFILM Holdings autocorrelation shows the relationship between FUJIFILM Holdings stock current value and its past values and can show if there is a momentum factor associated with investing in FUJIFILM Holdings.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in FUJIFILM Stock
FUJIFILM Holdings financial ratios help investors to determine whether FUJIFILM 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 FUJIFILM with respect to the benefits of owning FUJIFILM Holdings security.