Federal National Mortgage Stock Market Value
| FNMFM Stock | USD 15.25 1.25 8.93% |
| Symbol | Federal |
Federal National '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 Federal National'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 Federal National.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Federal National on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Federal National Mortgage or generate 0.0% return on investment in Federal National over 30 days. Federal National is related to or competes with Federal Home, Federal Home, Federal Home, Federal Home, Federal National, Federal Home, and Federal Home. Federal National Mortgage Association provides a source of financing for mortgages in the United States More
Federal National 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 Federal National'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 Federal National Mortgage upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 7.32 | |||
| Information Ratio | 0.1957 | |||
| Maximum Drawdown | 69.9 | |||
| Value At Risk | (5.86) | |||
| Potential Upside | 8.93 |
Federal National Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Federal National's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Federal National's standard deviation. In reality, there are many statistical measures that can use Federal National historical prices to predict the future Federal National's volatility.| Risk Adjusted Performance | 0.1695 | |||
| Jensen Alpha | 1.99 | |||
| Total Risk Alpha | 0.4788 | |||
| Sortino Ratio | 0.2505 | |||
| Treynor Ratio | (6.32) |
Federal National Mortgage Backtested Returns
Federal National is moderately volatile given 3 months investment horizon. Federal National Mortgage secures Sharpe Ratio (or Efficiency) of 0.2, which denotes the company had a 0.2% return per unit of risk over the last 3 months. We were able to analyze and collect data for thirty different technical indicators, which can help you to evaluate if expected returns of 1.96% are justified by taking the suggested risk. Use Federal National Downside Deviation of 7.32, coefficient of variation of 476.96, and Mean Deviation of 4.29 to evaluate company specific risk that cannot be diversified away. Federal National holds a performance score of 16 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of -0.31, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Federal National are expected to decrease at a much lower rate. During the bear market, Federal National is likely to outperform the market. Use Federal National potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to analyze future returns on Federal National.
Auto-correlation | -0.22 |
Weak reverse predictability
Federal National Mortgage has weak reverse predictability. Overlapping area represents the amount of predictability between Federal National time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Federal National Mortgage price movement. The serial correlation of -0.22 indicates that over 22.0% of current Federal National price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 0.11 |
Federal National Mortgage lagged returns against current returns
Autocorrelation, which is Federal National 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 Federal National's pink sheet expected returns. We can calculate the autocorrelation of Federal National returns to help us make a trade decision. For example, suppose you find that Federal National 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 |
Federal National 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 Federal National pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Federal National pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Federal National pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Federal National Lagged Returns
When evaluating Federal National's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Federal National pink sheet have on its future price. Federal National 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, Federal National autocorrelation shows the relationship between Federal National pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Federal National Mortgage.
Regressed Prices |
| Timeline |
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Federal National financial ratios help investors to determine whether Federal Pink Sheet 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 Federal with respect to the benefits of owning Federal National security.