Ferreycorp SAA (Peru) Market Value
| FERREYC1 | 3.36 0.01 0.30% |
| Symbol | Ferreycorp |
Ferreycorp SAA '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 Ferreycorp SAA'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 Ferreycorp SAA.
| 05/26/2025 |
| 08/24/2025 |
If you would invest 0.00 in Ferreycorp SAA on May 26, 2025 and sell it all today you would earn a total of 0.00 from holding Ferreycorp SAA or generate 0.0% return on investment in Ferreycorp SAA over 90 days.
Ferreycorp SAA 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 Ferreycorp SAA'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 Ferreycorp SAA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7986 | |||
| Information Ratio | 0.0202 | |||
| Maximum Drawdown | 4.73 | |||
| Value At Risk | (0.95) | |||
| Potential Upside | 1.54 |
Ferreycorp SAA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ferreycorp SAA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ferreycorp SAA's standard deviation. In reality, there are many statistical measures that can use Ferreycorp SAA historical prices to predict the future Ferreycorp SAA's volatility.| Risk Adjusted Performance | 0.1117 | |||
| Jensen Alpha | 0.0932 | |||
| Total Risk Alpha | 0.0082 | |||
| Sortino Ratio | 0.0203 | |||
| Treynor Ratio | 0.6044 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ferreycorp SAA'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.
Ferreycorp SAA Backtested Returns
At this point, Ferreycorp SAA is not too volatile. Ferreycorp SAA secures Sharpe Ratio (or Efficiency) of 0.14, which denotes the company had a 0.14 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Ferreycorp SAA, which you can use to evaluate the volatility of the firm. Please confirm Ferreycorp SAA's Coefficient Of Variation of 665.42, mean deviation of 0.5713, and Downside Deviation of 0.7986 to check if the risk estimate we provide is consistent with the expected return of 0.11%. Ferreycorp SAA has a performance score of 11 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.18, which means not very significant fluctuations relative to the market. As returns on the market increase, Ferreycorp SAA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ferreycorp SAA is expected to be smaller as well. Ferreycorp SAA right now shows a risk of 0.75%. Please confirm Ferreycorp SAA maximum drawdown, accumulation distribution, relative strength index, as well as the relationship between the semi variance and day typical price , to decide if Ferreycorp SAA will be following its price patterns.
Auto-correlation | -0.54 |
Good reverse predictability
Ferreycorp SAA has good reverse predictability. Overlapping area represents the amount of predictability between Ferreycorp SAA time series from 26th of May 2025 to 10th of July 2025 and 10th of July 2025 to 24th of August 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Ferreycorp SAA price movement. The serial correlation of -0.54 indicates that about 54.0% of current Ferreycorp SAA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Ferreycorp SAA lagged returns against current returns
Autocorrelation, which is Ferreycorp SAA 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 Ferreycorp SAA's stock expected returns. We can calculate the autocorrelation of Ferreycorp SAA returns to help us make a trade decision. For example, suppose you find that Ferreycorp SAA 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 |
Ferreycorp SAA 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 Ferreycorp SAA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ferreycorp SAA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ferreycorp SAA stock over time.
Current vs Lagged Prices |
| Timeline |
Ferreycorp SAA Lagged Returns
When evaluating Ferreycorp SAA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ferreycorp SAA stock have on its future price. Ferreycorp SAA 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, Ferreycorp SAA autocorrelation shows the relationship between Ferreycorp SAA stock current value and its past values and can show if there is a momentum factor associated with investing in Ferreycorp SAA.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Prophet is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio Prophet