Fomento De (Spain) Market Value
| FCC Stock | EUR 12.72 0.02 0.16% |
| Symbol | Fomento |
Fomento De '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 Fomento De'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 Fomento De.
| 04/02/2024 |
| 05/02/2024 |
If you would invest 0.00 in Fomento De on April 2, 2024 and sell it all today you would earn a total of 0.00 from holding Fomento de Construcciones or generate 0.0% return on investment in Fomento De over 30 days. Fomento De is related to or competes with CIE Automotive, Viscofan, Tecnicas Reunidas, and ENCE Energa. Fomento de Construcciones y Contratas, S.A., together with its subsidiaries, engages in the environmental services, wate... More
Fomento De 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 Fomento De'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 Fomento de Construcciones upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 6.26 | |||
| Value At Risk | (2.45) | |||
| Potential Upside | 2.15 |
Fomento De Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fomento De's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fomento De's standard deviation. In reality, there are many statistical measures that can use Fomento De historical prices to predict the future Fomento De's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.19) | |||
| Treynor Ratio | 0.9596 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fomento De'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.
Fomento de Construcciones Backtested Returns
We consider Fomento De not too volatile. Fomento de Construcciones secures Sharpe Ratio (or Efficiency) of 0.0291, which denotes the company had a 0.0291% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for Fomento de Construcciones, which you can use to evaluate the volatility of the firm. Please confirm Fomento De's Variance of 2.08, standard deviation of 1.44, and Mean Deviation of 1.17 to check if the risk estimate we provide is consistent with the expected return of 0.04%. Fomento De has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0843, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Fomento De are expected to decrease at a much lower rate. During the bear market, Fomento De is likely to outperform the market. Fomento de Construcciones right now shows a risk of 1.37%. Please confirm Fomento de Construcciones treynor ratio, skewness, rate of daily change, as well as the relationship between the value at risk and accumulation distribution , to decide if Fomento de Construcciones will be following its price patterns.
Auto-correlation | 0.06 |
Virtually no predictability
Fomento de Construcciones has virtually no predictability. Overlapping area represents the amount of predictability between Fomento De time series from 2nd of April 2024 to 17th of April 2024 and 17th of April 2024 to 2nd 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 Fomento de Construcciones price movement. The serial correlation of 0.06 indicates that barely 6.0% of current Fomento De price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.06 | |
| Spearman Rank Test | -0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Fomento de Construcciones lagged returns against current returns
Autocorrelation, which is Fomento De 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 Fomento De's stock expected returns. We can calculate the autocorrelation of Fomento De returns to help us make a trade decision. For example, suppose you find that Fomento De 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 |
Fomento De 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 Fomento De stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fomento De stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fomento De stock over time.
Current vs Lagged Prices |
| Timeline |
Fomento De Lagged Returns
When evaluating Fomento De's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fomento De stock have on its future price. Fomento De 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, Fomento De autocorrelation shows the relationship between Fomento De stock current value and its past values and can show if there is a momentum factor associated with investing in Fomento de Construcciones.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Fomento De Correlation, Fomento De Volatility and Fomento De Alpha and Beta module to complement your research on Fomento De. Note that the Fomento de Construcciones information on this page should be used as a complementary analysis to other Fomento De's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
Complementary Tools for Fomento Stock analysis
When running Fomento De's price analysis, check to measure Fomento De'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 Fomento De is operating at the current time. Most of Fomento De's value examination focuses on studying past and present price action to predict the probability of Fomento De's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fomento De's price. Additionally, you may evaluate how the addition of Fomento De to your portfolios can decrease your overall portfolio volatility.
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