Frasers Property (Thailand) Market Value
| FPT Stock | 12.20 0.10 0.81% |
| Symbol | Frasers |
Frasers Property '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 Frasers Property'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 Frasers Property.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in Frasers Property on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding Frasers Property Public or generate 0.0% return on investment in Frasers Property over 720 days. Frasers Property is related to or competes with PINTHONG INDUSTRIAL. More
Frasers Property 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 Frasers Property'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 Frasers Property Public upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 10.46 | |||
| Value At Risk | (3.03) | |||
| Potential Upside | 1.63 |
Frasers Property Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Frasers Property's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Frasers Property's standard deviation. In reality, there are many statistical measures that can use Frasers Property historical prices to predict the future Frasers Property's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.19) | |||
| Total Risk Alpha | (0.42) | |||
| Treynor Ratio | (0.59) |
Frasers Property Public Backtested Returns
Frasers Property Public secures Sharpe Ratio (or Efficiency) of -0.0905, which denotes the company had a -0.0905% return per unit of standard deviation over the last 3 months. Frasers Property Public exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Frasers Property's Mean Deviation of 0.8972, standard deviation of 1.55, and Coefficient Of Variation of (1,039) to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.27, which means not very significant fluctuations relative to the market. As returns on the market increase, Frasers Property's returns are expected to increase less than the market. However, during the bear market, the loss of holding Frasers Property is expected to be smaller as well. At this point, Frasers Property Public has a negative expected return of -0.14%. Please make sure to confirm Frasers Property's coefficient of variation, variance, and the relationship between the mean deviation and standard deviation , to decide if Frasers Property Public performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.09 |
Virtually no predictability
Frasers Property Public has virtually no predictability. Overlapping area represents the amount of predictability between Frasers Property time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 Frasers Property Public price movement. The serial correlation of 0.09 indicates that less than 9.0% of current Frasers Property price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | 0.16 | |
| Residual Average | 0.0 | |
| Price Variance | 0.75 |
Frasers Property Public lagged returns against current returns
Autocorrelation, which is Frasers Property 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 Frasers Property's stock expected returns. We can calculate the autocorrelation of Frasers Property returns to help us make a trade decision. For example, suppose you find that Frasers Property 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 |
Frasers Property 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 Frasers Property stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Frasers Property stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Frasers Property stock over time.
Current vs Lagged Prices |
| Timeline |
Frasers Property Lagged Returns
When evaluating Frasers Property's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Frasers Property stock have on its future price. Frasers Property 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, Frasers Property autocorrelation shows the relationship between Frasers Property stock current value and its past values and can show if there is a momentum factor associated with investing in Frasers Property Public.
Regressed Prices |
| Timeline |
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Frasers Property financial ratios help investors to determine whether Frasers 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 Frasers with respect to the benefits of owning Frasers Property security.