FIRSTRAND (Germany) Market Value
| FSRA Stock | EUR 3.26 0.08 2.52% |
| 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.
| 04/03/2024 |
| 05/03/2024 |
If you would invest 0.00 in FIRSTRAND on April 3, 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 Hyrican Informationssyst, Datang International, TELES Informationstech, Science Applications, VASCO DATA, ScanSource, and Food Life. 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 | 13.62 | |||
| Information Ratio | 0.0754 | |||
| Maximum Drawdown | 198.52 | |||
| Value At Risk | (2.58) | |||
| Potential Upside | 3.09 |
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 | 0.0596 | |||
| Jensen Alpha | 2.22 | |||
| Total Risk Alpha | 0.1787 | |||
| Sortino Ratio | 0.1421 | |||
| Treynor Ratio | (0.37) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of FIRSTRAND'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.
FIRSTRAND Backtested Returns
FIRSTRAND is out of control given 3 months investment horizon. FIRSTRAND secures Sharpe Ratio (or Efficiency) of 0.0829, which denotes the company had a 0.0829% return per unit of volatility over the last 3 months. We were able to interpolate twenty-eight different technical indicators, which can help you to evaluate if expected returns of 2.21% are justified by taking the suggested risk. Use FIRSTRAND Downside Deviation of 13.62, market risk adjusted performance of (0.36), and Mean Deviation of 6.12 to evaluate company specific risk that cannot be diversified away. FIRSTRAND holds a performance score of 6 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of -5.32, which means a somewhat significant risk relative to the market. As returns on the market increase, returns on owning FIRSTRAND are expected to decrease by larger amounts. On the other hand, during market turmoil, FIRSTRAND is expected to outperform it. Use FIRSTRAND treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to analyze future returns on FIRSTRAND.
Auto-correlation | 0.33 |
Below average predictability
FIRSTRAND has below average predictability. Overlapping area represents the amount of predictability between FIRSTRAND time series from 3rd of April 2024 to 18th of April 2024 and 18th of April 2024 to 3rd 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 FIRSTRAND price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current FIRSTRAND price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.33 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
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 |
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 FIRSTRAND 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, FIRSTRAND's short interest history, or implied volatility extrapolated from FIRSTRAND options trading.
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Try AI Portfolio ArchitectCheck out FIRSTRAND Correlation, FIRSTRAND Volatility and FIRSTRAND Alpha and Beta module to complement your research on FIRSTRAND. You can also try the Equity Valuation module to check real value of public entities based on technical and fundamental data.
Complementary 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.
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