FIRST MUTUAL (Zimbabwe) Market Value
| FML Stock | 449.95 0.05 0.01% |
| Symbol | FIRST |
FIRST MUTUAL '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 FIRST MUTUAL'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 FIRST MUTUAL.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in FIRST MUTUAL on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding FIRST MUTUAL HOLDINGS or generate 0.0% return on investment in FIRST MUTUAL over 30 days.
FIRST MUTUAL 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 FIRST MUTUAL'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 FIRST MUTUAL HOLDINGS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 10.44 | |||
| Information Ratio | 0.2227 | |||
| Maximum Drawdown | 25.0 | |||
| Value At Risk | (4.76) | |||
| Potential Upside | 14.49 |
FIRST MUTUAL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FIRST MUTUAL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FIRST MUTUAL's standard deviation. In reality, there are many statistical measures that can use FIRST MUTUAL historical prices to predict the future FIRST MUTUAL's volatility.| Risk Adjusted Performance | 0.1972 | |||
| Jensen Alpha | 1.28 | |||
| Total Risk Alpha | 0.4894 | |||
| Sortino Ratio | 0.1205 | |||
| Treynor Ratio | 1.74 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of FIRST MUTUAL'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.
FIRST MUTUAL HOLDINGS Backtested Returns
FIRST MUTUAL is very steady given 3 months investment horizon. FIRST MUTUAL HOLDINGS secures Sharpe Ratio (or Efficiency) of 0.25, which denotes the company had a 0.25% return per unit of volatility over the last 3 months. We were able to collect and analyze data for twenty-eight different technical indicators, which can help you to evaluate if expected returns of 1.41% are justified by taking the suggested risk. Use FIRST MUTUAL Mean Deviation of 3.51, market risk adjusted performance of 1.75, and Downside Deviation of 10.44 to evaluate company specific risk that cannot be diversified away. FIRST MUTUAL holds a performance score of 19 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of 0.79, which means possible diversification benefits within a given portfolio. As returns on the market increase, FIRST MUTUAL's returns are expected to increase less than the market. However, during the bear market, the loss of holding FIRST MUTUAL is expected to be smaller as well. Use FIRST MUTUAL semi variance, and the relationship between the maximum drawdown and daily balance of power , to analyze future returns on FIRST MUTUAL.
Auto-correlation | -0.95 |
Near perfect reversele predictability
FIRST MUTUAL HOLDINGS has near perfect reversele predictability. Overlapping area represents the amount of predictability between FIRST MUTUAL time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 FIRST MUTUAL HOLDINGS price movement. The serial correlation of -0.95 indicates that approximately 95.0% of current FIRST MUTUAL price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.95 | |
| Spearman Rank Test | -0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
FIRST MUTUAL HOLDINGS lagged returns against current returns
Autocorrelation, which is FIRST MUTUAL 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 FIRST MUTUAL's stock expected returns. We can calculate the autocorrelation of FIRST MUTUAL returns to help us make a trade decision. For example, suppose you find that FIRST MUTUAL 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 |
FIRST MUTUAL 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 FIRST MUTUAL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FIRST MUTUAL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FIRST MUTUAL stock over time.
Current vs Lagged Prices |
| Timeline |
FIRST MUTUAL Lagged Returns
When evaluating FIRST MUTUAL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FIRST MUTUAL stock have on its future price. FIRST MUTUAL 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, FIRST MUTUAL autocorrelation shows the relationship between FIRST MUTUAL stock current value and its past values and can show if there is a momentum factor associated with investing in FIRST MUTUAL HOLDINGS.
Regressed Prices |
| Timeline |
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