Fannie Mae (UK) Market Value
| 0IL0 Stock | 2.75 0.05 1.85% |
| Symbol | Fannie |
Fannie Mae '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 Fannie Mae'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 Fannie Mae.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Fannie Mae on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Fannie Mae or generate 0.0% return on investment in Fannie Mae over 30 days. Fannie Mae is related to or competes with Federal Realty, Fevertree Drinks, Futura Medical, Monks Investment, National Beverage, Bankers Investment, and Air Products. Fannie Mae is entity of United Kingdom. It is traded as Stock on LSE exchange. More
Fannie Mae 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 Fannie Mae'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 Fannie Mae upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 7.17 | |||
| Information Ratio | 0.1456 | |||
| Maximum Drawdown | 43.49 | |||
| Value At Risk | (12.61) | |||
| Potential Upside | 14.55 |
Fannie Mae Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fannie Mae's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fannie Mae's standard deviation. In reality, there are many statistical measures that can use Fannie Mae historical prices to predict the future Fannie Mae's volatility.| Risk Adjusted Performance | 0.1239 | |||
| Jensen Alpha | 1.57 | |||
| Total Risk Alpha | 0.1508 | |||
| Sortino Ratio | 0.183 | |||
| Treynor Ratio | (0.92) |
Fannie Mae Backtested Returns
Fannie Mae is extremely dangerous given 3 months investment horizon. Fannie Mae secures Sharpe Ratio (or Efficiency) of 0.22, which denotes the company had a 0.22% return per unit of risk over the last 3 months. We are able to interpolate and collect twenty-seven different technical indicators, which can help you to evaluate if expected returns of 2.1% are justified by taking the suggested risk. Use Fannie Mae Coefficient Of Variation of 633.05, downside deviation of 7.17, and Mean Deviation of 6.83 to evaluate company specific risk that cannot be diversified away. Fannie Mae holds a performance score of 17 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of -1.53, which means a somewhat significant risk relative to the market. As returns on the market increase, returns on owning Fannie Mae are expected to decrease by larger amounts. On the other hand, during market turmoil, Fannie Mae is expected to outperform it. Use Fannie Mae coefficient of variation, jensen alpha, and the relationship between the downside deviation and information ratio , to analyze future returns on Fannie Mae.
Auto-correlation | -0.74 |
Almost perfect reverse predictability
Fannie Mae has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Fannie Mae time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th of December 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 Fannie Mae price movement. The serial correlation of -0.74 indicates that around 74.0% of current Fannie Mae price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.74 | |
| Spearman Rank Test | -0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Fannie Mae lagged returns against current returns
Autocorrelation, which is Fannie Mae 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 Fannie Mae's stock expected returns. We can calculate the autocorrelation of Fannie Mae returns to help us make a trade decision. For example, suppose you find that Fannie Mae 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 |
Fannie Mae 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 Fannie Mae stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fannie Mae stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fannie Mae stock over time.
Current vs Lagged Prices |
| Timeline |
Fannie Mae Lagged Returns
When evaluating Fannie Mae's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fannie Mae stock have on its future price. Fannie Mae 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, Fannie Mae autocorrelation shows the relationship between Fannie Mae stock current value and its past values and can show if there is a momentum factor associated with investing in Fannie Mae.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Fannie Stock Analysis
When running Fannie Mae's price analysis, check to measure Fannie Mae'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 Fannie Mae is operating at the current time. Most of Fannie Mae's value examination focuses on studying past and present price action to predict the probability of Fannie Mae's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fannie Mae's price. Additionally, you may evaluate how the addition of Fannie Mae to your portfolios can decrease your overall portfolio volatility.