FIRSTRAND (Germany) Market Value
| FSRA Stock | EUR 4.04 0.04 1.00% |
| 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.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in FIRSTRAND on October 29, 2024 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 30 days. FIRSTRAND is related to or competes with United Natural, KOOL2PLAY, PREMIER FOODS, Monster Beverage, Playtech Plc, TRAVEL LEISURE, and THAI BEVERAGE. 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.
| Downside Deviation | 1.72 | |||
| Information Ratio | 0.1116 | |||
| Maximum Drawdown | 101.93 | |||
| Value At Risk | (2.44) | |||
| Potential Upside | 2.93 |
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 | 0.1027 | |||
| Jensen Alpha | 1.54 | |||
| Total Risk Alpha | (0.36) | |||
| Sortino Ratio | 0.7887 | |||
| Treynor Ratio | (2.44) |
FIRSTRAND Backtested Returns
FIRSTRAND is dangerous given 3 months investment horizon. FIRSTRAND secures Sharpe Ratio (or Efficiency) of 0.12, which denotes the company had a 0.12% return per unit of volatility over the last 3 months. We are able to break down and analyze data for twenty-seven different technical indicators, which can help you to evaluate if expected returns of 1.53% are justified by taking the suggested risk. Use FIRSTRAND Mean Deviation of 3.2, market risk adjusted performance of (2.43), and Downside Deviation of 1.72 to evaluate company specific risk that cannot be diversified away. FIRSTRAND holds a performance score of 9 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of -0.6, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning FIRSTRAND are expected to decrease at a much lower rate. During the bear market, FIRSTRAND is likely to outperform the market. Use FIRSTRAND total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to analyze future returns on FIRSTRAND.
Auto-correlation | 0.51 |
Modest predictability
FIRSTRAND has modest predictability. Overlapping area represents the amount of predictability between FIRSTRAND 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 FIRSTRAND price movement. The serial correlation of 0.51 indicates that about 51.0% of current FIRSTRAND price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.51 | |
| Spearman Rank Test | 0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
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 |
Thematic Opportunities
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Additional Tools for FIRSTRAND Stock Analysis
When running FIRSTRAND's price analysis, check to measure FIRSTRAND's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy FIRSTRAND is operating at the current time. Most of FIRSTRAND's value examination focuses on studying past and present price action to predict the probability of FIRSTRAND's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move FIRSTRAND's price. Additionally, you may evaluate how the addition of FIRSTRAND to your portfolios can decrease your overall portfolio volatility.