Falmaco Nonwoven (Indonesia) Market Value
| FLMC Stock | 83.00 1.00 1.22% |
| Symbol | Falmaco |
Falmaco Nonwoven '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 Falmaco Nonwoven'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 Falmaco Nonwoven.
| 11/14/2024 |
| 12/14/2024 |
If you would invest 0.00 in Falmaco Nonwoven on November 14, 2024 and sell it all today you would earn a total of 0.00 from holding Falmaco Nonwoven Industri or generate 0.0% return on investment in Falmaco Nonwoven over 30 days. Falmaco Nonwoven is related to or competes with Fast Food, Diamond Food, Chandra Asri, Garudafood Putra, Optima Prima, and Weha Transportasi. More
Falmaco Nonwoven 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 Falmaco Nonwoven'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 Falmaco Nonwoven Industri upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.62 | |||
| Information Ratio | 0.0878 | |||
| Maximum Drawdown | 20.0 | |||
| Value At Risk | (9.78) | |||
| Potential Upside | 9.78 |
Falmaco Nonwoven Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Falmaco Nonwoven's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Falmaco Nonwoven's standard deviation. In reality, there are many statistical measures that can use Falmaco Nonwoven historical prices to predict the future Falmaco Nonwoven's volatility.| Risk Adjusted Performance | 0.085 | |||
| Jensen Alpha | 0.5726 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | 0.0898 | |||
| Treynor Ratio | 2.43 |
Falmaco Nonwoven Industri Backtested Returns
As of now, Falmaco Stock is very steady. Falmaco Nonwoven Industri secures Sharpe Ratio (or Efficiency) of 0.0101, which denotes the company had a 0.0101% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Falmaco Nonwoven Industri, which you can use to evaluate the volatility of the firm. Please confirm Falmaco Nonwoven's Mean Deviation of 4.51, downside deviation of 5.62, and Coefficient Of Variation of 950.32 to check if the risk estimate we provide is consistent with the expected return of 0.0553%. The firm shows a Beta (market volatility) of 0.24, which means not very significant fluctuations relative to the market. As returns on the market increase, Falmaco Nonwoven's returns are expected to increase less than the market. However, during the bear market, the loss of holding Falmaco Nonwoven is expected to be smaller as well. Falmaco Nonwoven Industri right now shows a risk of 5.5%. Please confirm Falmaco Nonwoven Industri jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to decide if Falmaco Nonwoven Industri will be following its price patterns.
Auto-correlation | -0.67 |
Very good reverse predictability
Falmaco Nonwoven Industri has very good reverse predictability. Overlapping area represents the amount of predictability between Falmaco Nonwoven time series from 14th of November 2024 to 29th of November 2024 and 29th of November 2024 to 14th 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 Falmaco Nonwoven Industri price movement. The serial correlation of -0.67 indicates that around 67.0% of current Falmaco Nonwoven price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.67 | |
| Spearman Rank Test | -0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 5.27 |
Falmaco Nonwoven Industri lagged returns against current returns
Autocorrelation, which is Falmaco Nonwoven 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 Falmaco Nonwoven's stock expected returns. We can calculate the autocorrelation of Falmaco Nonwoven returns to help us make a trade decision. For example, suppose you find that Falmaco Nonwoven 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 |
Falmaco Nonwoven 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 Falmaco Nonwoven stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Falmaco Nonwoven stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Falmaco Nonwoven stock over time.
Current vs Lagged Prices |
| Timeline |
Falmaco Nonwoven Lagged Returns
When evaluating Falmaco Nonwoven's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Falmaco Nonwoven stock have on its future price. Falmaco Nonwoven 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, Falmaco Nonwoven autocorrelation shows the relationship between Falmaco Nonwoven stock current value and its past values and can show if there is a momentum factor associated with investing in Falmaco Nonwoven Industri.
Regressed Prices |
| Timeline |
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Falmaco Nonwoven financial ratios help investors to determine whether Falmaco 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 Falmaco with respect to the benefits of owning Falmaco Nonwoven security.