Ferrovial (Spain) Market Value
| FER Stock | EUR 33.68 0.68 1.98% |
| Symbol | Ferrovial |
Ferrovial '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 Ferrovial'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 Ferrovial.
| 03/16/2024 |
| 04/15/2024 |
If you would invest 0.00 in Ferrovial on March 16, 2024 and sell it all today you would earn a total of 0.00 from holding Ferrovial or generate 0.0% return on investment in Ferrovial over 30 days. Ferrovial is related to or competes with Enags SA, Viscofan, Mapfre, and Ebro Foods. Ferrovial, S.A., together with its subsidiaries, operates as an infrastructure operator and municipal services company w... More
Ferrovial 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 Ferrovial'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 Ferrovial upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.26 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 5.99 | |||
| Value At Risk | (1.67) | |||
| Potential Upside | 2.02 |
Ferrovial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ferrovial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ferrovial's standard deviation. In reality, there are many statistical measures that can use Ferrovial historical prices to predict the future Ferrovial's volatility.| Risk Adjusted Performance | 0.0099 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ferrovial'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.
Ferrovial Backtested Returns
Ferrovial secures Sharpe Ratio (or Efficiency) of -0.0447, which denotes the company had a -0.0447% return per unit of risk over the last 3 months. Ferrovial exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Ferrovial's Coefficient Of Variation of 11480.32, downside deviation of 1.26, and Mean Deviation of 0.8359 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.1, which means not very significant fluctuations relative to the market. As returns on the market increase, Ferrovial's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ferrovial is expected to be smaller as well. Ferrovial has an expected return of -0.0524%. Please make sure to confirm Ferrovial sortino ratio, potential upside, skewness, as well as the relationship between the maximum drawdown and semi variance , to decide if Ferrovial performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.28 |
Poor predictability
Ferrovial has poor predictability. Overlapping area represents the amount of predictability between Ferrovial time series from 16th of March 2024 to 31st of March 2024 and 31st of March 2024 to 15th of April 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 Ferrovial price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current Ferrovial price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.28 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.37 |
Ferrovial lagged returns against current returns
Autocorrelation, which is Ferrovial 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 Ferrovial's stock expected returns. We can calculate the autocorrelation of Ferrovial returns to help us make a trade decision. For example, suppose you find that Ferrovial 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 |
Ferrovial 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 Ferrovial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ferrovial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ferrovial stock over time.
Current vs Lagged Prices |
| Timeline |
Ferrovial Lagged Returns
When evaluating Ferrovial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ferrovial stock have on its future price. Ferrovial 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, Ferrovial autocorrelation shows the relationship between Ferrovial stock current value and its past values and can show if there is a momentum factor associated with investing in Ferrovial.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Ferrovial in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Ferrovial's short interest history, or implied volatility extrapolated from Ferrovial options trading.
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Complementary Tools for Ferrovial Stock analysis
When running Ferrovial's price analysis, check to measure Ferrovial'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 Ferrovial is operating at the current time. Most of Ferrovial's value examination focuses on studying past and present price action to predict the probability of Ferrovial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Ferrovial's price. Additionally, you may evaluate how the addition of Ferrovial to your portfolios can decrease your overall portfolio volatility.
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Ferrovial technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.