Fortum Oyj (Finland) Market Value
| FORTUM Stock | EUR 13.63 0.22 1.64% |
| Symbol | Fortum |
Fortum Oyj '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 Fortum Oyj'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 Fortum Oyj.
| 04/14/2024 |
| 05/14/2024 |
If you would invest 0.00 in Fortum Oyj on April 14, 2024 and sell it all today you would earn a total of 0.00 from holding Fortum Oyj or generate 0.0% return on investment in Fortum Oyj over 30 days. Fortum Oyj is related to or competes with Telefonaktiebolaget, Telia Company, Nordea Bank, SSAB AB, SSAB AB, Stora Enso, and Stora Enso. Fortum Oyj, together with its subsidiaries, engages in the generation and sale of electricity and heat in the Nordic cou... More
Fortum Oyj 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 Fortum Oyj'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 Fortum Oyj upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.61 | |||
| Information Ratio | 0.0921 | |||
| Maximum Drawdown | 6.85 | |||
| Value At Risk | (2.38) | |||
| Potential Upside | 3.14 |
Fortum Oyj Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fortum Oyj's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fortum Oyj's standard deviation. In reality, there are many statistical measures that can use Fortum Oyj historical prices to predict the future Fortum Oyj's volatility.| Risk Adjusted Performance | 0.0914 | |||
| Jensen Alpha | 0.2213 | |||
| Total Risk Alpha | 0.0384 | |||
| Sortino Ratio | 0.0973 | |||
| Treynor Ratio | 5.26 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fortum Oyj'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.
Fortum Oyj Backtested Returns
Fortum Oyj appears to be very steady, given 3 months investment horizon. Fortum Oyj secures Sharpe Ratio (or Efficiency) of 0.31, which denotes the company had a 0.31% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Fortum Oyj, which you can use to evaluate the volatility of the firm. Please utilize Fortum Oyj's Coefficient Of Variation of 726.48, mean deviation of 1.34, and Downside Deviation of 1.61 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Fortum Oyj holds a performance score of 24. The firm shows a Beta (market volatility) of 0.0426, which means not very significant fluctuations relative to the market. As returns on the market increase, Fortum Oyj's returns are expected to increase less than the market. However, during the bear market, the loss of holding Fortum Oyj is expected to be smaller as well. Please check Fortum Oyj's potential upside, as well as the relationship between the accumulation distribution and period momentum indicator , to make a quick decision on whether Fortum Oyj's price patterns will revert.
Auto-correlation | 0.35 |
Below average predictability
Fortum Oyj has below average predictability. Overlapping area represents the amount of predictability between Fortum Oyj time series from 14th of April 2024 to 29th of April 2024 and 29th of April 2024 to 14th 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 Fortum Oyj price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current Fortum Oyj price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.35 | |
| Spearman Rank Test | 0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
Fortum Oyj lagged returns against current returns
Autocorrelation, which is Fortum Oyj 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 Fortum Oyj's stock expected returns. We can calculate the autocorrelation of Fortum Oyj returns to help us make a trade decision. For example, suppose you find that Fortum Oyj 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 |
Fortum Oyj 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 Fortum Oyj stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fortum Oyj stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fortum Oyj stock over time.
Current vs Lagged Prices |
| Timeline |
Fortum Oyj Lagged Returns
When evaluating Fortum Oyj's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fortum Oyj stock have on its future price. Fortum Oyj 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, Fortum Oyj autocorrelation shows the relationship between Fortum Oyj stock current value and its past values and can show if there is a momentum factor associated with investing in Fortum Oyj.
Regressed Prices |
| Timeline |
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Complementary Tools for Fortum Stock analysis
When running Fortum Oyj's price analysis, check to measure Fortum Oyj'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 Fortum Oyj is operating at the current time. Most of Fortum Oyj's value examination focuses on studying past and present price action to predict the probability of Fortum Oyj's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Fortum Oyj's price. Additionally, you may evaluate how the addition of Fortum Oyj to your portfolios can decrease your overall portfolio volatility.
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