Fras Le (Brazil) Market Value
| FRAS3 Stock | BRL 21.08 0.43 2.08% |
| Symbol | Fras |
Fras Le '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 Fras Le'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 Fras Le.
| 01/31/2024 |
| 11/26/2024 |
If you would invest 0.00 in Fras Le on January 31, 2024 and sell it all today you would earn a total of 0.00 from holding Fras le SA or generate 0.0% return on investment in Fras Le over 300 days. Fras Le is related to or competes with PBG SA, Schulz SA, Tupy SA, Springs Global, and Indstrias Romi. Fras-le S.A. manufactures and sells friction materials worldwide More
Fras Le 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 Fras Le'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 Fras le SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.3 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 6.15 | |||
| Value At Risk | (1.71) | |||
| Potential Upside | 2.61 |
Fras Le Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fras Le's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fras Le's standard deviation. In reality, there are many statistical measures that can use Fras Le historical prices to predict the future Fras Le's volatility.| Risk Adjusted Performance | 0.0684 | |||
| Jensen Alpha | 0.1072 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | (3.20) |
Fras le SA Backtested Returns
Currently, Fras le SA is very steady. Fras le SA secures Sharpe Ratio (or Efficiency) of 0.0838, which denotes the company had a 0.0838% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for Fras le SA, which you can use to evaluate the volatility of the firm. Please confirm Fras Le's Semi Deviation of 1.17, mean deviation of 0.9995, and Downside Deviation of 1.3 to check if the risk estimate we provide is consistent with the expected return of 0.11%. Fras Le has a performance score of 6 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0323, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Fras Le are expected to decrease at a much lower rate. During the bear market, Fras Le is likely to outperform the market. Fras le SA right now shows a risk of 1.35%. Please confirm Fras le SA semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to decide if Fras le SA will be following its price patterns.
Auto-correlation | 0.28 |
Poor predictability
Fras le SA has poor predictability. Overlapping area represents the amount of predictability between Fras Le time series from 31st of January 2024 to 29th of June 2024 and 29th of June 2024 to 26th 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 Fras le SA price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current Fras Le price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.28 | |
| Spearman Rank Test | 0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 1.24 |
Fras le SA lagged returns against current returns
Autocorrelation, which is Fras Le 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 Fras Le's stock expected returns. We can calculate the autocorrelation of Fras Le returns to help us make a trade decision. For example, suppose you find that Fras Le 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 |
Fras Le 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 Fras Le stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fras Le stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fras Le stock over time.
Current vs Lagged Prices |
| Timeline |
Fras Le Lagged Returns
When evaluating Fras Le's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fras Le stock have on its future price. Fras Le 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, Fras Le autocorrelation shows the relationship between Fras Le stock current value and its past values and can show if there is a momentum factor associated with investing in Fras le SA.
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 Fras Stock Analysis
When running Fras Le's price analysis, check to measure Fras Le'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 Fras Le is operating at the current time. Most of Fras Le's value examination focuses on studying past and present price action to predict the probability of Fras Le's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fras Le's price. Additionally, you may evaluate how the addition of Fras Le to your portfolios can decrease your overall portfolio volatility.