Farglory FTZ (Taiwan) Market Value
| 5607 Stock | TWD 42.10 0.30 0.72% |
| Symbol | Farglory |
Farglory FTZ '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 Farglory FTZ'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 Farglory FTZ.
| 12/15/2024 |
| 03/15/2025 |
If you would invest 0.00 in Farglory FTZ on December 15, 2024 and sell it all today you would earn a total of 0.00 from holding Farglory FTZ Investment or generate 0.0% return on investment in Farglory FTZ over 90 days. Farglory FTZ is related to or competes with Evergreen International, China Container, Sincere Navigation, CSBC Corp, and Hung Sheng. Farglory Free Trade Zone Investment Holding Co., Ltd operates free trade zone in Taiwan More
Farglory FTZ 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 Farglory FTZ'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 Farglory FTZ Investment upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0442 | |||
| Maximum Drawdown | 6.17 | |||
| Value At Risk | (2.48) | |||
| Potential Upside | 2.39 |
Farglory FTZ Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Farglory FTZ's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Farglory FTZ's standard deviation. In reality, there are many statistical measures that can use Farglory FTZ historical prices to predict the future Farglory FTZ's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | 0.1603 | |||
| Treynor Ratio | (3.41) |
Farglory FTZ Investment Backtested Returns
Farglory FTZ Investment secures Sharpe Ratio (or Efficiency) of -0.0471, which denotes the company had a -0.0471 % return per unit of risk over the last 3 months. Farglory FTZ Investment exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Farglory FTZ's Mean Deviation of 1.07, variance of 2.02, and Standard Deviation of 1.42 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0233, which means not very significant fluctuations relative to the market. As returns on the market increase, Farglory FTZ's returns are expected to increase less than the market. However, during the bear market, the loss of holding Farglory FTZ is expected to be smaller as well. At this point, Farglory FTZ Investment has a negative expected return of -0.0621%. Please make sure to confirm Farglory FTZ's information ratio, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Farglory FTZ Investment performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.3 |
Weak reverse predictability
Farglory FTZ Investment has weak reverse predictability. Overlapping area represents the amount of predictability between Farglory FTZ time series from 15th of December 2024 to 29th of January 2025 and 29th of January 2025 to 15th of March 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 Farglory FTZ Investment price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current Farglory FTZ price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.3 | |
| Spearman Rank Test | 0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 0.82 |
Farglory FTZ Investment lagged returns against current returns
Autocorrelation, which is Farglory FTZ 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 Farglory FTZ's stock expected returns. We can calculate the autocorrelation of Farglory FTZ returns to help us make a trade decision. For example, suppose you find that Farglory FTZ 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 |
Farglory FTZ 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 Farglory FTZ stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Farglory FTZ stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Farglory FTZ stock over time.
Current vs Lagged Prices |
| Timeline |
Farglory FTZ Lagged Returns
When evaluating Farglory FTZ's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Farglory FTZ stock have on its future price. Farglory FTZ 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, Farglory FTZ autocorrelation shows the relationship between Farglory FTZ stock current value and its past values and can show if there is a momentum factor associated with investing in Farglory FTZ Investment.
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 Farglory Stock Analysis
When running Farglory FTZ's price analysis, check to measure Farglory FTZ'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 Farglory FTZ is operating at the current time. Most of Farglory FTZ's value examination focuses on studying past and present price action to predict the probability of Farglory FTZ's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Farglory FTZ's price. Additionally, you may evaluate how the addition of Farglory FTZ to your portfolios can decrease your overall portfolio volatility.