Fillamentum (Czech Republic) Market Value
| FILL Stock | 160.00 0.00 0.00% |
| Symbol | Fillamentum |
Fillamentum '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 Fillamentum'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 Fillamentum.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Fillamentum on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Fillamentum as or generate 0.0% return on investment in Fillamentum over 30 days. Fillamentum is related to or competes with Philip Morris, Prabos Plus, Nokia Oyj, Kofola CeskoSlovensko, HARDWARIO, Toma As, and Colt CZ. More
Fillamentum 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 Fillamentum'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 Fillamentum as upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 3.23 |
Fillamentum Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fillamentum's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fillamentum's standard deviation. In reality, there are many statistical measures that can use Fillamentum historical prices to predict the future Fillamentum's volatility.| Risk Adjusted Performance | 0.085 | |||
| Jensen Alpha | 0.0494 | |||
| Total Risk Alpha | (0.02) | |||
| Treynor Ratio | (0.43) |
Fillamentum as Backtested Returns
Currently, Fillamentum as is very steady. Fillamentum as secures Sharpe Ratio (or Efficiency) of 0.13, which denotes the company had a 0.13% return per unit of risk over the last 3 months. We have found sixteen technical indicators for Fillamentum as, which you can use to evaluate the volatility of the firm. Please confirm Fillamentum's Standard Deviation of 0.3971, variance of 0.1577, and Mean Deviation of 0.0963 to check if the risk estimate we provide is consistent with the expected return of 0.0512%. Fillamentum has a performance score of 9 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0913, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Fillamentum are expected to decrease at a much lower rate. During the bear market, Fillamentum is likely to outperform the market. Fillamentum as right now shows a risk of 0.41%. Please confirm Fillamentum as variance, treynor ratio, skewness, as well as the relationship between the information ratio and maximum drawdown , to decide if Fillamentum as will be following its price patterns.
Auto-correlation | 0.00 |
No correlation between past and present
Fillamentum as has no correlation between past and present. Overlapping area represents the amount of predictability between Fillamentum time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th of November 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 Fillamentum as price movement. The serial correlation of 0.0 indicates that just 0.0% of current Fillamentum price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Fillamentum as lagged returns against current returns
Autocorrelation, which is Fillamentum 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 Fillamentum's stock expected returns. We can calculate the autocorrelation of Fillamentum returns to help us make a trade decision. For example, suppose you find that Fillamentum 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 |
Fillamentum 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 Fillamentum stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fillamentum stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fillamentum stock over time.
Current vs Lagged Prices |
| Timeline |
Fillamentum Lagged Returns
When evaluating Fillamentum's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fillamentum stock have on its future price. Fillamentum 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, Fillamentum autocorrelation shows the relationship between Fillamentum stock current value and its past values and can show if there is a momentum factor associated with investing in Fillamentum as.
Regressed Prices |
| Timeline |
Pair Trading with Fillamentum
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Fillamentum position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Fillamentum will appreciate offsetting losses from the drop in the long position's value.Moving together with Fillamentum Stock
Moving against Fillamentum Stock
| 0.88 | COLOS | Coloseum Holding | PairCorr |
| 0.61 | FIXED | FIXEDzone as | PairCorr |
| 0.56 | KLIKY | MT 1997 AS | PairCorr |
| 0.52 | BEZVA | Bezvavlasy as | PairCorr |
| 0.37 | PRIUA | Primoco UAV SE | PairCorr |
The ability to find closely correlated positions to Fillamentum could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Fillamentum when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Fillamentum - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Fillamentum as to buy it.
The correlation of Fillamentum is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Fillamentum moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Fillamentum as moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Fillamentum can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Fillamentum Stock Analysis
When running Fillamentum's price analysis, check to measure Fillamentum'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 Fillamentum is operating at the current time. Most of Fillamentum's value examination focuses on studying past and present price action to predict the probability of Fillamentum's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fillamentum's price. Additionally, you may evaluate how the addition of Fillamentum to your portfolios can decrease your overall portfolio volatility.