Freehold Royalties Stock Market Value
| FRU Stock | CAD 14.44 0.16 1.12% |
| Symbol | Freehold |
Freehold Royalties Price To Book Ratio
Freehold Royalties '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 Freehold Royalties' 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 Freehold Royalties.
| 11/29/2023 |
| 11/23/2024 |
If you would invest 0.00 in Freehold Royalties on November 29, 2023 and sell it all today you would earn a total of 0.00 from holding Freehold Royalties or generate 0.0% return on investment in Freehold Royalties over 360 days. Freehold Royalties is related to or competes with ARC Resources, Whitecap Resources, Peyto ExplorationDevel, and Tourmaline Oil. Freehold Royalties Ltd., an oil and gas royalty company, owns working interests in oil, natural gas, and potash properti... More
Freehold Royalties 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 Freehold Royalties' 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 Freehold Royalties upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.31 | |||
| Information Ratio | (0.0009) | |||
| Maximum Drawdown | 4.91 | |||
| Value At Risk | (1.99) | |||
| Potential Upside | 1.72 |
Freehold Royalties Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Freehold Royalties' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Freehold Royalties' standard deviation. In reality, there are many statistical measures that can use Freehold Royalties historical prices to predict the future Freehold Royalties' volatility.| Risk Adjusted Performance | 0.0916 | |||
| Jensen Alpha | 0.1099 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.0008) | |||
| Treynor Ratio | 1.46 |
Freehold Royalties Backtested Returns
As of now, Freehold Stock is very steady. Freehold Royalties secures Sharpe Ratio (or Efficiency) of 0.0757, which denotes the company had a 0.0757% return per unit of risk over the last 3 months. We have found thirty technical indicators for Freehold Royalties, which you can use to evaluate the volatility of the firm. Please confirm Freehold Royalties' Mean Deviation of 0.8932, downside deviation of 1.31, and Coefficient Of Variation of 867.05 to check if the risk estimate we provide is consistent with the expected return of 0.085%. Freehold Royalties has a performance score of 5 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0818, which means not very significant fluctuations relative to the market. As returns on the market increase, Freehold Royalties' returns are expected to increase less than the market. However, during the bear market, the loss of holding Freehold Royalties is expected to be smaller as well. Freehold Royalties right now shows a risk of 1.12%. Please confirm Freehold Royalties downside variance, day median price, and the relationship between the treynor ratio and kurtosis , to decide if Freehold Royalties will be following its price patterns.
Auto-correlation | 0.42 |
Average predictability
Freehold Royalties has average predictability. Overlapping area represents the amount of predictability between Freehold Royalties time series from 29th of November 2023 to 27th of May 2024 and 27th of May 2024 to 23rd 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 Freehold Royalties price movement. The serial correlation of 0.42 indicates that just about 42.0% of current Freehold Royalties price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.42 | |
| Spearman Rank Test | 0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
Freehold Royalties lagged returns against current returns
Autocorrelation, which is Freehold Royalties 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 Freehold Royalties' stock expected returns. We can calculate the autocorrelation of Freehold Royalties returns to help us make a trade decision. For example, suppose you find that Freehold Royalties 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 |
Freehold Royalties 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 Freehold Royalties stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Freehold Royalties stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Freehold Royalties stock over time.
Current vs Lagged Prices |
| Timeline |
Freehold Royalties Lagged Returns
When evaluating Freehold Royalties' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Freehold Royalties stock have on its future price. Freehold Royalties 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, Freehold Royalties autocorrelation shows the relationship between Freehold Royalties stock current value and its past values and can show if there is a momentum factor associated with investing in Freehold Royalties.
Regressed Prices |
| Timeline |
Pair Trading with Freehold Royalties
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 Freehold Royalties 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 Freehold Royalties will appreciate offsetting losses from the drop in the long position's value.Moving together with Freehold Stock
The ability to find closely correlated positions to Freehold Royalties could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Freehold Royalties 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 Freehold Royalties - 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 Freehold Royalties to buy it.
The correlation of Freehold Royalties 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 Freehold Royalties moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Freehold Royalties 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 Freehold Royalties 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.Other Information on Investing in Freehold Stock
Freehold Royalties financial ratios help investors to determine whether Freehold 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 Freehold with respect to the benefits of owning Freehold Royalties security.