FUJITSU (Germany) Market Value
| FUJA Stock | EUR 17.90 0.10 0.56% |
| Symbol | FUJITSU |
FUJITSU '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 FUJITSU'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 FUJITSU.
| 06/07/2024 |
| 12/04/2024 |
If you would invest 0.00 in FUJITSU on June 7, 2024 and sell it all today you would earn a total of 0.00 from holding FUJITSU LTD ADR or generate 0.0% return on investment in FUJITSU over 180 days. FUJITSU is related to or competes with SPORT LISBOA, NTG Nordic, USWE SPORTS, SPORTING, American Airlines, Singapore Airlines, and JAPAN AIRLINES. Fujitsu Limited operates as an information and communication technology company in japan and internationally More
FUJITSU 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 FUJITSU'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 FUJITSU LTD ADR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.3 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 12.99 | |||
| Value At Risk | (2.19) | |||
| Potential Upside | 3.39 |
FUJITSU Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FUJITSU's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FUJITSU's standard deviation. In reality, there are many statistical measures that can use FUJITSU historical prices to predict the future FUJITSU's volatility.| Risk Adjusted Performance | 0.0335 | |||
| Jensen Alpha | 0.0045 | |||
| Total Risk Alpha | (0.21) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.1115 |
FUJITSU LTD ADR Backtested Returns
At this point, FUJITSU is not too volatile. FUJITSU LTD ADR secures Sharpe Ratio (or Efficiency) of 0.0275, which denotes the company had a 0.0275% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for FUJITSU LTD ADR, which you can use to evaluate the volatility of the firm. Please confirm FUJITSU's Downside Deviation of 2.3, semi deviation of 1.85, and Mean Deviation of 1.35 to check if the risk estimate we provide is consistent with the expected return of 0.0545%. FUJITSU has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.56, which means possible diversification benefits within a given portfolio. As returns on the market increase, FUJITSU's returns are expected to increase less than the market. However, during the bear market, the loss of holding FUJITSU is expected to be smaller as well. FUJITSU LTD ADR currently shows a risk of 1.98%. Please confirm FUJITSU LTD ADR coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the information ratio and total risk alpha , to decide if FUJITSU LTD ADR will be following its price patterns.
Auto-correlation | -0.11 |
Insignificant reverse predictability
FUJITSU LTD ADR has insignificant reverse predictability. Overlapping area represents the amount of predictability between FUJITSU time series from 7th of June 2024 to 5th of September 2024 and 5th of September 2024 to 4th 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 FUJITSU LTD ADR price movement. The serial correlation of -0.11 indicates that less than 11.0% of current FUJITSU price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | -0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.66 |
FUJITSU LTD ADR lagged returns against current returns
Autocorrelation, which is FUJITSU 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 FUJITSU's stock expected returns. We can calculate the autocorrelation of FUJITSU returns to help us make a trade decision. For example, suppose you find that FUJITSU 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 |
FUJITSU 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 FUJITSU stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FUJITSU stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FUJITSU stock over time.
Current vs Lagged Prices |
| Timeline |
FUJITSU Lagged Returns
When evaluating FUJITSU's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FUJITSU stock have on its future price. FUJITSU 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, FUJITSU autocorrelation shows the relationship between FUJITSU stock current value and its past values and can show if there is a momentum factor associated with investing in FUJITSU LTD ADR.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in FUJITSU Stock
FUJITSU financial ratios help investors to determine whether FUJITSU 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 FUJITSU with respect to the benefits of owning FUJITSU security.