Frontier Ceramics (Pakistan) Market Value
| FRCL Stock | 15.78 0.02 0.13% |
| Symbol | Frontier |
Frontier Ceramics '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 Frontier Ceramics' 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 Frontier Ceramics.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in Frontier Ceramics on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding Frontier Ceramics or generate 0.0% return on investment in Frontier Ceramics over 720 days.
Frontier Ceramics 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 Frontier Ceramics' 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 Frontier Ceramics upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.73 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 20.02 | |||
| Value At Risk | (8.60) | |||
| Potential Upside | 9.98 |
Frontier Ceramics Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Frontier Ceramics' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Frontier Ceramics' standard deviation. In reality, there are many statistical measures that can use Frontier Ceramics historical prices to predict the future Frontier Ceramics' volatility.| Risk Adjusted Performance | 0.0117 | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.69) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0086 |
Frontier Ceramics Backtested Returns
Frontier Ceramics appears to be somewhat reliable, given 3 months investment horizon. Frontier Ceramics secures Sharpe Ratio (or Efficiency) of 0.0552, which denotes the company had a 0.0552% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Frontier Ceramics, which you can use to evaluate the volatility of the firm. Please utilize Frontier Ceramics' Downside Deviation of 5.73, mean deviation of 2.96, and Coefficient Of Variation of 22765.41 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Frontier Ceramics holds a performance score of 4. The firm shows a Beta (market volatility) of 1.23, which means a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Frontier Ceramics will likely underperform. Please check Frontier Ceramics' standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether Frontier Ceramics' price patterns will revert.
Auto-correlation | 0.38 |
Below average predictability
Frontier Ceramics has below average predictability. Overlapping area represents the amount of predictability between Frontier Ceramics time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th 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 Frontier Ceramics price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Frontier Ceramics price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 0.83 |
Frontier Ceramics lagged returns against current returns
Autocorrelation, which is Frontier Ceramics 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 Frontier Ceramics' stock expected returns. We can calculate the autocorrelation of Frontier Ceramics returns to help us make a trade decision. For example, suppose you find that Frontier Ceramics 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 |
Frontier Ceramics 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 Frontier Ceramics stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Frontier Ceramics stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Frontier Ceramics stock over time.
Current vs Lagged Prices |
| Timeline |
Frontier Ceramics Lagged Returns
When evaluating Frontier Ceramics' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Frontier Ceramics stock have on its future price. Frontier Ceramics 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, Frontier Ceramics autocorrelation shows the relationship between Frontier Ceramics stock current value and its past values and can show if there is a momentum factor associated with investing in Frontier Ceramics.
Regressed Prices |
| Timeline |
Pair Trading with Frontier Ceramics
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Frontier Ceramics position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Frontier Ceramics will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Frontier Ceramics could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Frontier Ceramics when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Frontier Ceramics - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Frontier Ceramics to buy it.
The correlation of Frontier Ceramics is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Frontier Ceramics moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Frontier Ceramics moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Frontier Ceramics can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.