Fabryki Mebli (Poland) Market Value
| FTE Stock | 24.20 0.20 0.83% |
| Symbol | Fabryki |
Fabryki Mebli '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 Fabryki Mebli'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 Fabryki Mebli.
| 03/05/2024 |
| 11/30/2024 |
If you would invest 0.00 in Fabryki Mebli on March 5, 2024 and sell it all today you would earn a total of 0.00 from holding Fabryki Mebli Forte or generate 0.0% return on investment in Fabryki Mebli over 270 days.
Fabryki Mebli 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 Fabryki Mebli'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 Fabryki Mebli Forte upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.88 | |||
| Information Ratio | 0.0454 | |||
| Maximum Drawdown | 8.86 | |||
| Value At Risk | (3.10) | |||
| Potential Upside | 3.45 |
Fabryki Mebli Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fabryki Mebli's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fabryki Mebli's standard deviation. In reality, there are many statistical measures that can use Fabryki Mebli historical prices to predict the future Fabryki Mebli's volatility.| Risk Adjusted Performance | 0.0944 | |||
| Jensen Alpha | 0.1689 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | 0.0475 | |||
| Treynor Ratio | 0.5772 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fabryki Mebli'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.
Fabryki Mebli Forte Backtested Returns
Fabryki Mebli appears to be very steady, given 3 months investment horizon. Fabryki Mebli Forte secures Sharpe Ratio (or Efficiency) of 0.12, which denotes the company had a 0.12% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for Fabryki Mebli Forte, which you can use to evaluate the volatility of the firm. Please utilize Fabryki Mebli's Downside Deviation of 1.88, semi deviation of 1.59, and Mean Deviation of 1.5 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Fabryki Mebli holds a performance score of 9. The firm shows a Beta (market volatility) of 0.38, which means possible diversification benefits within a given portfolio. As returns on the market increase, Fabryki Mebli's returns are expected to increase less than the market. However, during the bear market, the loss of holding Fabryki Mebli is expected to be smaller as well. Please check Fabryki Mebli's potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to make a quick decision on whether Fabryki Mebli's price patterns will revert.
Auto-correlation | -0.32 |
Poor reverse predictability
Fabryki Mebli Forte has poor reverse predictability. Overlapping area represents the amount of predictability between Fabryki Mebli time series from 5th of March 2024 to 18th of July 2024 and 18th of July 2024 to 30th 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 Fabryki Mebli Forte price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current Fabryki Mebli price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.32 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 1.98 |
Fabryki Mebli Forte lagged returns against current returns
Autocorrelation, which is Fabryki Mebli 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 Fabryki Mebli's stock expected returns. We can calculate the autocorrelation of Fabryki Mebli returns to help us make a trade decision. For example, suppose you find that Fabryki Mebli 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 |
Fabryki Mebli 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 Fabryki Mebli stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fabryki Mebli stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fabryki Mebli stock over time.
Current vs Lagged Prices |
| Timeline |
Fabryki Mebli Lagged Returns
When evaluating Fabryki Mebli's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fabryki Mebli stock have on its future price. Fabryki Mebli 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, Fabryki Mebli autocorrelation shows the relationship between Fabryki Mebli stock current value and its past values and can show if there is a momentum factor associated with investing in Fabryki Mebli Forte.
Regressed Prices |
| Timeline |
Pair Trading with Fabryki Mebli
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 Fabryki Mebli 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 Fabryki Mebli will appreciate offsetting losses from the drop in the long position's value.Moving together with Fabryki Stock
Moving against Fabryki Stock
| 0.75 | PCO | Pepco Group BV | PairCorr |
| 0.74 | ALE | Allegroeu SA | PairCorr |
| 0.73 | KGH | KGHM Polska Miedz | PairCorr |
| 0.51 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.37 | PEO | Bank Polska Kasa | PairCorr |
The ability to find closely correlated positions to Fabryki Mebli could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Fabryki Mebli 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 Fabryki Mebli - 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 Fabryki Mebli Forte to buy it.
The correlation of Fabryki Mebli 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 Fabryki Mebli moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Fabryki Mebli Forte 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 Fabryki Mebli 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.Additional Tools for Fabryki Stock Analysis
When running Fabryki Mebli's price analysis, check to measure Fabryki Mebli'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 Fabryki Mebli is operating at the current time. Most of Fabryki Mebli's value examination focuses on studying past and present price action to predict the probability of Fabryki Mebli's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fabryki Mebli's price. Additionally, you may evaluate how the addition of Fabryki Mebli to your portfolios can decrease your overall portfolio volatility.