Fraser Neave (Malaysia) Market Value
| 3689 Stock | 27.62 0.28 1.00% |
| Symbol | Fraser |
Fraser Neave '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 Fraser Neave'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 Fraser Neave.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Fraser Neave on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Fraser Neave Holdings or generate 0.0% return on investment in Fraser Neave over 30 days. Fraser Neave is related to or competes with Malayan Banking, Public Bank, Petronas Chemicals, Tenaga Nasional, IHH Healthcare, Hong Leong, and Press Metal. More
Fraser Neave 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 Fraser Neave'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 Fraser Neave Holdings upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 5.85 | |||
| Value At Risk | (1.64) | |||
| Potential Upside | 1.41 |
Fraser Neave Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fraser Neave's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fraser Neave's standard deviation. In reality, there are many statistical measures that can use Fraser Neave historical prices to predict the future Fraser Neave's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.26) | |||
| Treynor Ratio | 0.4071 |
Fraser Neave Holdings Backtested Returns
Fraser Neave Holdings secures Sharpe Ratio (or Efficiency) of -0.11, which denotes the company had a -0.11% return per unit of standard deviation over the last 3 months. Fraser Neave Holdings exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Fraser Neave's Standard Deviation of 1.05, coefficient of variation of (1,327), and Mean Deviation of 0.7266 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.22, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Fraser Neave are expected to decrease at a much lower rate. During the bear market, Fraser Neave is likely to outperform the market. At this point, Fraser Neave Holdings has a negative expected return of -0.11%. Please make sure to confirm Fraser Neave's coefficient of variation, jensen alpha, and the relationship between the mean deviation and standard deviation , to decide if Fraser Neave Holdings performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.71 |
Good predictability
Fraser Neave Holdings has good predictability. Overlapping area represents the amount of predictability between Fraser Neave time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 Fraser Neave Holdings price movement. The serial correlation of 0.71 indicates that around 71.0% of current Fraser Neave price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.71 | |
| Spearman Rank Test | 0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Fraser Neave Holdings lagged returns against current returns
Autocorrelation, which is Fraser Neave 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 Fraser Neave's stock expected returns. We can calculate the autocorrelation of Fraser Neave returns to help us make a trade decision. For example, suppose you find that Fraser Neave 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 |
Fraser Neave 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 Fraser Neave stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fraser Neave stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fraser Neave stock over time.
Current vs Lagged Prices |
| Timeline |
Fraser Neave Lagged Returns
When evaluating Fraser Neave's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fraser Neave stock have on its future price. Fraser Neave 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, Fraser Neave autocorrelation shows the relationship between Fraser Neave stock current value and its past values and can show if there is a momentum factor associated with investing in Fraser Neave Holdings.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Fraser Stock
Fraser Neave financial ratios help investors to determine whether Fraser Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Fraser with respect to the benefits of owning Fraser Neave security.