FORTUNE BRANDS HOME Market Value
| 34964CAA4 | 99.07 0.38 0.38% |
| Symbol | FORTUNE |
FORTUNE '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 FORTUNE's bond 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 FORTUNE.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in FORTUNE on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding FORTUNE BRANDS HOME or generate 0.0% return on investment in FORTUNE over 30 days. FORTUNE is related to or competes with Western Acquisition, Nomura Holdings, Hanover Insurance, NI Holdings, Alchemy Investments, Inflection Point, and Independence Realty. More
FORTUNE 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 FORTUNE's bond 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 FORTUNE BRANDS HOME upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6537 | |||
| Information Ratio | (0.24) | |||
| Maximum Drawdown | 3.18 | |||
| Value At Risk | (0.39) | |||
| Potential Upside | 0.4036 |
FORTUNE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FORTUNE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FORTUNE's standard deviation. In reality, there are many statistical measures that can use FORTUNE historical prices to predict the future FORTUNE's volatility.| Risk Adjusted Performance | 4.0E-4 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.20) | |||
| Treynor Ratio | (0.40) |
FORTUNE BRANDS HOME Backtested Returns
FORTUNE BRANDS HOME secures Sharpe Ratio (or Efficiency) of -0.11, which denotes the bond had a -0.11% return per unit of volatility over the last 3 months. FORTUNE BRANDS HOME exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm FORTUNE's Market Risk Adjusted Performance of (0.39), mean deviation of 0.2449, and Downside Deviation of 0.6537 to check the risk estimate we provide. The bond shows a Beta (market volatility) of 0.017, which means not very significant fluctuations relative to the market. As returns on the market increase, FORTUNE's returns are expected to increase less than the market. However, during the bear market, the loss of holding FORTUNE is expected to be smaller as well.
Auto-correlation | -0.29 |
Weak reverse predictability
FORTUNE BRANDS HOME has weak reverse predictability. Overlapping area represents the amount of predictability between FORTUNE 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 FORTUNE BRANDS HOME price movement. The serial correlation of -0.29 indicates that nearly 29.0% of current FORTUNE price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.29 | |
| Spearman Rank Test | -0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.69 |
FORTUNE BRANDS HOME lagged returns against current returns
Autocorrelation, which is FORTUNE bond'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 FORTUNE's bond expected returns. We can calculate the autocorrelation of FORTUNE returns to help us make a trade decision. For example, suppose you find that FORTUNE has exhibited high autocorrelation historically, and you observe that the bond 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 |
FORTUNE 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 FORTUNE bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FORTUNE bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FORTUNE bond over time.
Current vs Lagged Prices |
| Timeline |
FORTUNE Lagged Returns
When evaluating FORTUNE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FORTUNE bond have on its future price. FORTUNE 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, FORTUNE autocorrelation shows the relationship between FORTUNE bond current value and its past values and can show if there is a momentum factor associated with investing in FORTUNE BRANDS HOME.
Regressed Prices |
| Timeline |
Also Currently Popular
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 FORTUNE Bond
FORTUNE financial ratios help investors to determine whether FORTUNE Bond 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 FORTUNE with respect to the benefits of owning FORTUNE security.