Firstrand (South Africa) Market Value
| FSR Stock | 7,765 27.00 0.35% |
| Symbol | Firstrand |
Firstrand '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 Firstrand'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 Firstrand.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in Firstrand on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding Firstrand or generate 0.0% return on investment in Firstrand over 720 days. Firstrand is related to or competes with Sabvest Capital, Growthpoint Properties, Bowler Metcalf, Shoprite Holdings, Dis Chem, Impala Platinum, and Kap Industrial. More
Firstrand 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 Firstrand'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 Firstrand upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 7.22 | |||
| Value At Risk | (2.13) | |||
| Potential Upside | 1.79 |
Firstrand Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Firstrand's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Firstrand's standard deviation. In reality, there are many statistical measures that can use Firstrand historical prices to predict the future Firstrand's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.26) | |||
| Treynor Ratio | (0.49) |
Firstrand Backtested Returns
Firstrand secures Sharpe Ratio (or Efficiency) of -0.0961, which denotes the company had a -0.0961% return per unit of risk over the last 3 months. Firstrand exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Firstrand's Standard Deviation of 1.23, variance of 1.52, and Mean Deviation of 0.8996 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.14, which means not very significant fluctuations relative to the market. As returns on the market increase, Firstrand's returns are expected to increase less than the market. However, during the bear market, the loss of holding Firstrand is expected to be smaller as well. At this point, Firstrand has a negative expected return of -0.12%. Please make sure to confirm Firstrand's accumulation distribution, day typical price, and the relationship between the skewness and rate of daily change , to decide if Firstrand performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.62 |
Good predictability
Firstrand has good predictability. Overlapping area represents the amount of predictability between Firstrand time series from 7th of December 2022 to 2nd of December 2023 and 2nd of December 2023 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 Firstrand price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current Firstrand price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.62 | |
| Spearman Rank Test | 0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 737.8 K |
Firstrand lagged returns against current returns
Autocorrelation, which is Firstrand 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 Firstrand's stock expected returns. We can calculate the autocorrelation of Firstrand returns to help us make a trade decision. For example, suppose you find that Firstrand 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 |
Firstrand 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 Firstrand stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Firstrand stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Firstrand stock over time.
Current vs Lagged Prices |
| Timeline |
Firstrand Lagged Returns
When evaluating Firstrand's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Firstrand stock have on its future price. Firstrand 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, Firstrand autocorrelation shows the relationship between Firstrand stock current value and its past values and can show if there is a momentum factor associated with investing in Firstrand.
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 Firstrand Stock
Firstrand financial ratios help investors to determine whether Firstrand 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 Firstrand with respect to the benefits of owning Firstrand security.