Corporativo Fragua (Mexico) Market Value
| FRAGUAB Stock | MXN 635.73 4.30 0.67% |
| Symbol | Corporativo |
Corporativo Fragua '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 Corporativo Fragua'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 Corporativo Fragua.
| 11/06/2024 |
| 01/05/2025 |
If you would invest 0.00 in Corporativo Fragua on November 6, 2024 and sell it all today you would earn a total of 0.00 from holding Corporativo Fragua SAB or generate 0.0% return on investment in Corporativo Fragua over 60 days. Corporativo Fragua is related to or competes with First Republic, Grupo Carso, McEwen Mining, Deutsche Bank, Martin Marietta, KB Home, and Verizon Communications. Corporativo Fragua, S.A.B. de C.V. operates pharmacy stores under the Superfarmacia name in Mexico More
Corporativo Fragua 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 Corporativo Fragua'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 Corporativo Fragua SAB upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 15.48 | |||
| Value At Risk | (4.90) | |||
| Potential Upside | 4.76 |
Corporativo Fragua Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Corporativo Fragua's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Corporativo Fragua's standard deviation. In reality, there are many statistical measures that can use Corporativo Fragua historical prices to predict the future Corporativo Fragua's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.53) | |||
| Total Risk Alpha | (0.58) | |||
| Treynor Ratio | (5.55) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Corporativo Fragua'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.
Corporativo Fragua SAB Backtested Returns
Corporativo Fragua SAB secures Sharpe Ratio (or Efficiency) of -0.18, which signifies that the company had a -0.18% return per unit of risk over the last 3 months. Corporativo Fragua SAB exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Corporativo Fragua's Mean Deviation of 1.95, standard deviation of 2.91, and Risk Adjusted Performance of (0.14) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0957, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Corporativo Fragua's returns are expected to increase less than the market. However, during the bear market, the loss of holding Corporativo Fragua is expected to be smaller as well. At this point, Corporativo Fragua SAB has a negative expected return of -0.52%. Please make sure to confirm Corporativo Fragua's treynor ratio, kurtosis, as well as the relationship between the Kurtosis and day typical price , to decide if Corporativo Fragua SAB performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.66 |
Very good reverse predictability
Corporativo Fragua SAB has very good reverse predictability. Overlapping area represents the amount of predictability between Corporativo Fragua time series from 6th of November 2024 to 6th of December 2024 and 6th of December 2024 to 5th of January 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 Corporativo Fragua SAB price movement. The serial correlation of -0.66 indicates that around 66.0% of current Corporativo Fragua price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.66 | |
| Spearman Rank Test | -0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 826.4 |
Corporativo Fragua SAB lagged returns against current returns
Autocorrelation, which is Corporativo Fragua 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 Corporativo Fragua's stock expected returns. We can calculate the autocorrelation of Corporativo Fragua returns to help us make a trade decision. For example, suppose you find that Corporativo Fragua 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 |
Corporativo Fragua 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 Corporativo Fragua stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Corporativo Fragua stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Corporativo Fragua stock over time.
Current vs Lagged Prices |
| Timeline |
Corporativo Fragua Lagged Returns
When evaluating Corporativo Fragua's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Corporativo Fragua stock have on its future price. Corporativo Fragua 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, Corporativo Fragua autocorrelation shows the relationship between Corporativo Fragua stock current value and its past values and can show if there is a momentum factor associated with investing in Corporativo Fragua SAB.
Regressed Prices |
| Timeline |
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Other Information on Investing in Corporativo Stock
Corporativo Fragua financial ratios help investors to determine whether Corporativo 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 Corporativo with respect to the benefits of owning Corporativo Fragua security.