Fomento De (Spain) Market Value
| FCC Stock | EUR 12.56 0.12 0.96% |
| 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.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Fomento De on March 20, 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 Mapfre, Enags SA, Endesa SA, and Acerinox. 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 | (0.15) | |||
| Maximum Drawdown | 6.26 | |||
| Value At Risk | (2.79) | |||
| 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 | (0.06) | |||
| Jensen Alpha | (0.16) | |||
| Total Risk Alpha | (0.31) | |||
| Treynor Ratio | 1.8 |
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
Fomento de Construcciones secures Sharpe Ratio (or Efficiency) of -0.0767, which denotes the company had a -0.0767% return per unit of risk over the last 3 months. Fomento de Construcciones exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Fomento De's Variance of 2.34, standard deviation of 1.53, and Mean Deviation of 1.28 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.094, 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 has an expected return of -0.12%. Please make sure to 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 performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.25 |
Poor predictability
Fomento de Construcciones has poor predictability. Overlapping area represents the amount of predictability between Fomento De time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Fomento de Construcciones price movement. The serial correlation of 0.25 indicates that over 25.0% of current Fomento De price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.25 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
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 |
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 Fomento De 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, Fomento De's short interest history, or implied volatility extrapolated from Fomento De options trading.
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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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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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