Ferrum SA (Argentina) Market Value
| FERR Stock | ARS 112.50 4.25 3.93% |
| Symbol | Ferrum |
Ferrum SA '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 Ferrum SA'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 Ferrum SA.
| 04/05/2024 |
| 05/05/2024 |
If you would invest 0.00 in Ferrum SA on April 5, 2024 and sell it all today you would earn a total of 0.00 from holding Ferrum SA or generate 0.0% return on investment in Ferrum SA over 30 days. Ferrum SA is related to or competes with Transportadora, Agrometal SAI, Harmony Gold, and Compania. Ferrum Sociedad Anonima de Ceramica y Metalurgia offers sanitary ware products More
Ferrum SA 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 Ferrum SA'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 Ferrum SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.52 | |||
| Information Ratio | 0.0066 | |||
| Maximum Drawdown | 15.1 | |||
| Value At Risk | (5.25) | |||
| Potential Upside | 6.92 |
Ferrum SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ferrum SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ferrum SA's standard deviation. In reality, there are many statistical measures that can use Ferrum SA historical prices to predict the future Ferrum SA's volatility.| Risk Adjusted Performance | 0.0257 | |||
| Jensen Alpha | 0.0494 | |||
| Total Risk Alpha | (0.32) | |||
| Sortino Ratio | 0.0071 | |||
| Treynor Ratio | 0.1454 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ferrum SA'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.
Ferrum SA Backtested Returns
We consider Ferrum SA very steady. Ferrum SA secures Sharpe Ratio (or Efficiency) of 0.0101, which denotes the company had a 0.0101% return per unit of risk over the last 3 months. We have found thirty technical indicators for Ferrum SA, which you can use to evaluate the volatility of the firm. Please confirm Ferrum SA's Mean Deviation of 3.1, downside deviation of 3.52, and Coefficient Of Variation of 3635.78 to check if the risk estimate we provide is consistent with the expected return of 0.0376%. The firm shows a Beta (market volatility) of 0.65, which means possible diversification benefits within a given portfolio. As returns on the market increase, Ferrum SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ferrum SA is expected to be smaller as well. Ferrum SA right now shows a risk of 3.72%. Please confirm Ferrum SA treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to decide if Ferrum SA will be following its price patterns.
Auto-correlation | 0.48 |
Average predictability
Ferrum SA has average predictability. Overlapping area represents the amount of predictability between Ferrum SA time series from 5th of April 2024 to 20th of April 2024 and 20th of April 2024 to 5th of May 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 Ferrum SA price movement. The serial correlation of 0.48 indicates that about 48.0% of current Ferrum SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.48 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 25.59 |
Ferrum SA lagged returns against current returns
Autocorrelation, which is Ferrum SA 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 Ferrum SA's stock expected returns. We can calculate the autocorrelation of Ferrum SA returns to help us make a trade decision. For example, suppose you find that Ferrum SA 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 |
Ferrum SA 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 Ferrum SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ferrum SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ferrum SA stock over time.
Current vs Lagged Prices |
| Timeline |
Ferrum SA Lagged Returns
When evaluating Ferrum SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ferrum SA stock have on its future price. Ferrum SA 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, Ferrum SA autocorrelation shows the relationship between Ferrum SA stock current value and its past values and can show if there is a momentum factor associated with investing in Ferrum SA.
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 Ferrum SA 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, Ferrum SA's short interest history, or implied volatility extrapolated from Ferrum SA options trading.
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Complementary Tools for Ferrum Stock analysis
When running Ferrum SA's price analysis, check to measure Ferrum SA'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 Ferrum SA is operating at the current time. Most of Ferrum SA's value examination focuses on studying past and present price action to predict the probability of Ferrum SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Ferrum SA's price. Additionally, you may evaluate how the addition of Ferrum SA to your portfolios can decrease your overall portfolio volatility.
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Ferrum SA 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.