Firstrand Ltd Adr Stock Market Value
| FANDY Stock | USD 40.03 2.15 5.68% |
| Symbol | FirstRand |
FirstRand '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 FirstRand's pink sheet 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 FirstRand.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in FirstRand on December 16, 2024 and sell it all today you would earn a total of 0.00 from holding FirstRand Ltd ADR or generate 0.0% return on investment in FirstRand over 90 days. FirstRand is related to or competes with Mitsubishi UFJ, Natwest Group, Barclays PLC, Bank of America, Banco Bilbao, UBS Group, and ING Group. FirstRand Limited, together with its subsidiaries, provides banking, transactional, lending, investment, and insurance p... More
FirstRand 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 FirstRand's pink sheet 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 FirstRand Ltd ADR upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0072 | |||
| Maximum Drawdown | 14.18 | |||
| Value At Risk | (2.88) | |||
| Potential Upside | 3.19 |
FirstRand Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FirstRand's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FirstRand's standard deviation. In reality, there are many statistical measures that can use FirstRand historical prices to predict the future FirstRand's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | 0.1605 | |||
| Treynor Ratio | 0.2584 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of FirstRand'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.
FirstRand ADR Backtested Returns
FirstRand ADR secures Sharpe Ratio (or Efficiency) of -0.0748, which denotes the company had a -0.0748 % return per unit of risk over the last 3 months. FirstRand Ltd ADR exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm FirstRand's Mean Deviation of 1.09, variance of 4.14, and Standard Deviation of 2.04 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.37, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning FirstRand are expected to decrease at a much lower rate. During the bear market, FirstRand is likely to outperform the market. At this point, FirstRand ADR has a negative expected return of -0.14%. Please make sure to confirm FirstRand's jensen alpha, kurtosis, as well as the relationship between the Kurtosis and price action indicator , to decide if FirstRand ADR performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.32 |
Below average predictability
FirstRand Ltd ADR has below average predictability. Overlapping area represents the amount of predictability between FirstRand time series from 16th of December 2024 to 30th of January 2025 and 30th of January 2025 to 16th 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 FirstRand ADR price movement. The serial correlation of 0.32 indicates that nearly 32.0% of current FirstRand price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.32 | |
| Spearman Rank Test | 0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 0.96 |
FirstRand ADR lagged returns against current returns
Autocorrelation, which is FirstRand pink sheet'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 FirstRand's pink sheet expected returns. We can calculate the autocorrelation of FirstRand returns to help us make a trade decision. For example, suppose you find that FirstRand has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
FirstRand 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 FirstRand pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FirstRand pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FirstRand pink sheet over time.
Current vs Lagged Prices |
| Timeline |
FirstRand Lagged Returns
When evaluating FirstRand's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FirstRand pink sheet have on its future price. FirstRand 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, FirstRand autocorrelation shows the relationship between FirstRand pink sheet current value and its past values and can show if there is a momentum factor associated with investing in FirstRand Ltd ADR.
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 FirstRand Pink Sheet Analysis
When running FirstRand's price analysis, check to measure FirstRand'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 FirstRand is operating at the current time. Most of FirstRand's value examination focuses on studying past and present price action to predict the probability of FirstRand's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move FirstRand's price. Additionally, you may evaluate how the addition of FirstRand to your portfolios can decrease your overall portfolio volatility.