Fujitsu Ltd Adr Stock Market Value
| FJTSY Stock | USD 19.09 0.65 3.52% |
| Symbol | Fujitsu |
Fujitsu '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 Fujitsu's pink sheet 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 Fujitsu.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Fujitsu on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Fujitsu Ltd ADR or generate 0.0% return on investment in Fujitsu over 720 days. Fujitsu Limited operates as an information and communication technology company in Japan and internationally More
Fujitsu 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 Fujitsu's pink sheet 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 Fujitsu Ltd ADR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.01 | |||
| Information Ratio | (0.0005) | |||
| Maximum Drawdown | 10.14 | |||
| Value At Risk | (3.34) | |||
| Potential Upside | 3.54 |
Fujitsu Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fujitsu's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fujitsu's standard deviation. In reality, there are many statistical measures that can use Fujitsu historical prices to predict the future Fujitsu's volatility.| Risk Adjusted Performance | 0.0541 | |||
| Jensen Alpha | 0.018 | |||
| Total Risk Alpha | (0.24) | |||
| Sortino Ratio | (0.0006) | |||
| Treynor Ratio | 0.1487 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fujitsu's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Fujitsu Ltd ADR Backtested Returns
At this stage we consider Fujitsu Pink Sheet to be very steady. Fujitsu Ltd ADR secures Sharpe Ratio (or Efficiency) of 0.0072, which denotes the company had a 0.0072% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Fujitsu Ltd ADR, which you can use to evaluate the volatility of the firm. Please confirm Fujitsu's Downside Deviation of 2.01, coefficient of variation of 1607.02, and Mean Deviation of 1.72 to check if the risk estimate we provide is consistent with the expected return of 0.0151%. The firm shows a Beta (market volatility) of 0.85, which means possible diversification benefits within a given portfolio. Fujitsu returns are very sensitive to returns on the market. As the market goes up or down, Fujitsu is expected to follow. Fujitsu Ltd ADR right now shows a risk of 2.1%. Please confirm Fujitsu Ltd ADR treynor ratio, as well as the relationship between the expected short fall and day median price , to decide if Fujitsu Ltd ADR will be following its price patterns.
Auto-correlation | -0.4 |
Poor reverse predictability
Fujitsu Ltd ADR has poor reverse predictability. Overlapping area represents the amount of predictability between Fujitsu time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd 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 Fujitsu Ltd ADR price movement. The serial correlation of -0.4 indicates that just about 40.0% of current Fujitsu price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.4 | |
| Spearman Rank Test | -0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 3.94 |
Fujitsu Ltd ADR lagged returns against current returns
Autocorrelation, which is Fujitsu pink sheet'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 Fujitsu's pink sheet expected returns. We can calculate the autocorrelation of Fujitsu returns to help us make a trade decision. For example, suppose you find that Fujitsu has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Fujitsu 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 Fujitsu pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fujitsu pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fujitsu pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Fujitsu Lagged Returns
When evaluating Fujitsu's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fujitsu pink sheet have on its future price. Fujitsu 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, Fujitsu autocorrelation shows the relationship between Fujitsu pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Fujitsu Ltd ADR.
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.Additional Tools for Fujitsu Pink Sheet Analysis
When running Fujitsu's price analysis, check to measure Fujitsu's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Fujitsu is operating at the current time. Most of Fujitsu's value examination focuses on studying past and present price action to predict the probability of Fujitsu's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fujitsu's price. Additionally, you may evaluate how the addition of Fujitsu to your portfolios can decrease your overall portfolio volatility.