Freetrailer Group (Denmark) Market Value
| FREETR Stock | 48.50 0.40 0.82% |
| Symbol | Freetrailer |
Freetrailer Group '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 Freetrailer Group'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 Freetrailer Group.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Freetrailer Group on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Freetrailer Group AS or generate 0.0% return on investment in Freetrailer Group over 30 days.
Freetrailer Group 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 Freetrailer Group'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 Freetrailer Group AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.81 | |||
| Information Ratio | 0.0372 | |||
| Maximum Drawdown | 12.51 | |||
| Value At Risk | (2.84) | |||
| Potential Upside | 3.75 |
Freetrailer Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Freetrailer Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Freetrailer Group's standard deviation. In reality, there are many statistical measures that can use Freetrailer Group historical prices to predict the future Freetrailer Group's volatility.| Risk Adjusted Performance | 0.0779 | |||
| Jensen Alpha | 0.181 | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | 0.0461 | |||
| Treynor Ratio | 1.29 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Freetrailer Group'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.
Freetrailer Group Backtested Returns
At this point, Freetrailer Group is very steady. Freetrailer Group secures Sharpe Ratio (or Efficiency) of 0.033, which denotes the company had a 0.033% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Freetrailer Group AS, which you can use to evaluate the volatility of the firm. Please confirm Freetrailer Group's Coefficient Of Variation of 1074.89, mean deviation of 1.51, and Downside Deviation of 1.81 to check if the risk estimate we provide is consistent with the expected return of 0.0667%. Freetrailer Group has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.15, which means not very significant fluctuations relative to the market. As returns on the market increase, Freetrailer Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding Freetrailer Group is expected to be smaller as well. Freetrailer Group right now shows a risk of 2.02%. Please confirm Freetrailer Group value at risk, and the relationship between the jensen alpha and skewness , to decide if Freetrailer Group will be following its price patterns.
Auto-correlation | 0.23 |
Weak predictability
Freetrailer Group AS has weak predictability. Overlapping area represents the amount of predictability between Freetrailer Group time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 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 Freetrailer Group price movement. The serial correlation of 0.23 indicates that over 23.0% of current Freetrailer Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.23 | |
| Spearman Rank Test | 0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 0.71 |
Freetrailer Group lagged returns against current returns
Autocorrelation, which is Freetrailer Group 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 Freetrailer Group's stock expected returns. We can calculate the autocorrelation of Freetrailer Group returns to help us make a trade decision. For example, suppose you find that Freetrailer Group 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 |
Freetrailer Group 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 Freetrailer Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Freetrailer Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Freetrailer Group stock over time.
Current vs Lagged Prices |
| Timeline |
Freetrailer Group Lagged Returns
When evaluating Freetrailer Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Freetrailer Group stock have on its future price. Freetrailer Group 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, Freetrailer Group autocorrelation shows the relationship between Freetrailer Group stock current value and its past values and can show if there is a momentum factor associated with investing in Freetrailer Group AS.
Regressed Prices |
| Timeline |
Pair Trading with Freetrailer Group
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 Freetrailer Group 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 Freetrailer Group will appreciate offsetting losses from the drop in the long position's value.Moving against Freetrailer Stock
The ability to find closely correlated positions to Freetrailer Group could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Freetrailer Group 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 Freetrailer Group - 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 Freetrailer Group AS to buy it.
The correlation of Freetrailer Group 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 Freetrailer Group moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Freetrailer Group 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 Freetrailer Group 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.