Fibra UNO (Mexico) Market Value
| FUNO11 Stock | MXN 25.11 0.70 2.87% |
| Symbol | Fibra |
Fibra UNO '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 Fibra UNO'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 Fibra UNO.
| 04/04/2024 |
| 05/04/2024 |
If you would invest 0.00 in Fibra UNO on April 4, 2024 and sell it all today you would earn a total of 0.00 from holding Fibra UNO or generate 0.0% return on investment in Fibra UNO over 30 days. Fibra UNO is related to or competes with FIBRA Macquarie, Fibra Mty, FIBRA Prologis, and Fibra Terrafina. Trust FIBRA UNO was established as a real estate investment trust on January 12, 2011 by Fibra UNO Administracin, SA de ... More
Fibra UNO 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 Fibra UNO'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 Fibra UNO upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 7.51 | |||
| Value At Risk | (2.96) | |||
| Potential Upside | 2.28 |
Fibra UNO Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fibra UNO's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fibra UNO's standard deviation. In reality, there are many statistical measures that can use Fibra UNO historical prices to predict the future Fibra UNO's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.42) | |||
| Treynor Ratio | 0.5612 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fibra UNO'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.
Fibra UNO Backtested Returns
Fibra UNO secures Sharpe Ratio (or Efficiency) of -0.13, which denotes the company had a -0.13% return per unit of standard deviation over the last 3 months. Fibra UNO exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Fibra UNO's Coefficient Of Variation of (721.20), standard deviation of 1.64, and Mean Deviation of 1.29 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.42, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Fibra UNO are expected to decrease at a much lower rate. During the bear market, Fibra UNO is likely to outperform the market. Fibra UNO has an expected return of -0.22%. Please make sure to confirm Fibra UNO mean deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if Fibra UNO performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.86 |
Very good predictability
Fibra UNO has very good predictability. Overlapping area represents the amount of predictability between Fibra UNO time series from 4th of April 2024 to 19th of April 2024 and 19th of April 2024 to 4th of May 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 Fibra UNO price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current Fibra UNO price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.45 |
Fibra UNO lagged returns against current returns
Autocorrelation, which is Fibra UNO 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 Fibra UNO's stock expected returns. We can calculate the autocorrelation of Fibra UNO returns to help us make a trade decision. For example, suppose you find that Fibra UNO 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 |
Fibra UNO 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 Fibra UNO stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fibra UNO stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fibra UNO stock over time.
Current vs Lagged Prices |
| Timeline |
Fibra UNO Lagged Returns
When evaluating Fibra UNO's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fibra UNO stock have on its future price. Fibra UNO 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, Fibra UNO autocorrelation shows the relationship between Fibra UNO stock current value and its past values and can show if there is a momentum factor associated with investing in Fibra UNO.
Regressed Prices |
| Timeline |
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Complementary Tools for Fibra Stock analysis
When running Fibra UNO's price analysis, check to measure Fibra UNO'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 Fibra UNO is operating at the current time. Most of Fibra UNO's value examination focuses on studying past and present price action to predict the probability of Fibra UNO's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fibra UNO's price. Additionally, you may evaluate how the addition of Fibra UNO to your portfolios can decrease your overall portfolio volatility.
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Fibra UNO technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.