Frey SA (France) Market Value
| FREY Stock | EUR 28.40 0.20 0.70% |
| Symbol | Frey |
Frey SA '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 Frey SA'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 Frey SA.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Frey SA on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Frey SA or generate 0.0% return on investment in Frey SA over 30 days. Frey SA is related to or competes with Fonciere Lyonnaise, Immobiliere Dassault, and . Frey SA engages in developing, owning, and managing commercial real estate assets primarily located in France More
Frey SA 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 Frey SA'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 Frey SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.23 | |||
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 4.78 | |||
| Value At Risk | (1.38) | |||
| Potential Upside | 0.7194 |
Frey SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Frey SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Frey SA's standard deviation. In reality, there are many statistical measures that can use Frey SA historical prices to predict the future Frey SA's volatility.| Risk Adjusted Performance | 0.0136 | |||
| Jensen Alpha | (0.0005) | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.1) | |||
| Treynor Ratio | 0.1062 |
Frey SA Backtested Returns
Frey SA secures Sharpe Ratio (or Efficiency) of -0.024, which denotes the company had a -0.024% return per unit of risk over the last 3 months. Frey SA exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Frey SA's Downside Deviation of 1.23, coefficient of variation of 5684.71, and Mean Deviation of 0.5197 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0337, which means not very significant fluctuations relative to the market. As returns on the market increase, Frey SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Frey SA is expected to be smaller as well. At this point, Frey SA has a negative expected return of -0.0186%. Please make sure to confirm Frey SA's semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and information ratio , to decide if Frey SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.66 |
Very good reverse predictability
Frey SA has very good reverse predictability. Overlapping area represents the amount of predictability between Frey SA time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Frey SA price movement. The serial correlation of -0.66 indicates that around 66.0% of current Frey SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.66 | |
| Spearman Rank Test | -0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Frey SA lagged returns against current returns
Autocorrelation, which is Frey SA 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 Frey SA's stock expected returns. We can calculate the autocorrelation of Frey SA returns to help us make a trade decision. For example, suppose you find that Frey SA 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 |
Frey SA 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 Frey SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Frey SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Frey SA stock over time.
Current vs Lagged Prices |
| Timeline |
Frey SA Lagged Returns
When evaluating Frey SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Frey SA stock have on its future price. Frey SA 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, Frey SA autocorrelation shows the relationship between Frey SA stock current value and its past values and can show if there is a momentum factor associated with investing in Frey 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.Other Information on Investing in Frey Stock
Frey SA financial ratios help investors to determine whether Frey 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 Frey with respect to the benefits of owning Frey SA security.