Allied Industrial (Taiwan) Market Value
| 4702 Stock | TWD 12.70 0.05 0.40% |
| Symbol | Allied |
Allied Industrial '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 Allied Industrial'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 Allied Industrial.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Allied Industrial on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Allied Industrial or generate 0.0% return on investment in Allied Industrial over 30 days. Allied Industrial is related to or competes with Chung Hwa, Air Asia, Hannstar Display, and Wei Chuan. Allied Industrial Corp., Ltd. manufactures and sells disperse dyes, food additives, and others More
Allied Industrial 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 Allied Industrial'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 Allied Industrial upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 4.38 | |||
| Value At Risk | (0.79) | |||
| Potential Upside | 1.54 |
Allied Industrial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allied Industrial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allied Industrial's standard deviation. In reality, there are many statistical measures that can use Allied Industrial historical prices to predict the future Allied Industrial's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.16) | |||
| Treynor Ratio | 0.8058 |
Allied Industrial Backtested Returns
Allied Industrial secures Sharpe Ratio (or Efficiency) of -0.021, which signifies that the company had a -0.021% return per unit of risk over the last 3 months. Allied Industrial exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Allied Industrial's Mean Deviation of 0.463, risk adjusted performance of (0.03), and Standard Deviation of 0.7444 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0457, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Allied Industrial are expected to decrease at a much lower rate. During the bear market, Allied Industrial is likely to outperform the market. At this point, Allied Industrial has a negative expected return of -0.0158%. Please make sure to confirm Allied Industrial's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Allied Industrial performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.13 |
Insignificant predictability
Allied Industrial has insignificant predictability. Overlapping area represents the amount of predictability between Allied Industrial time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Allied Industrial price movement. The serial correlation of 0.13 indicates that less than 13.0% of current Allied Industrial price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.13 | |
| Spearman Rank Test | -0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Allied Industrial lagged returns against current returns
Autocorrelation, which is Allied Industrial 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 Allied Industrial's stock expected returns. We can calculate the autocorrelation of Allied Industrial returns to help us make a trade decision. For example, suppose you find that Allied Industrial 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 |
Allied Industrial 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 Allied Industrial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allied Industrial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allied Industrial stock over time.
Current vs Lagged Prices |
| Timeline |
Allied Industrial Lagged Returns
When evaluating Allied Industrial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allied Industrial stock have on its future price. Allied Industrial 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, Allied Industrial autocorrelation shows the relationship between Allied Industrial stock current value and its past values and can show if there is a momentum factor associated with investing in Allied Industrial.
Regressed Prices |
| Timeline |
Pair Trading with Allied Industrial
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 Allied Industrial 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 Allied Industrial will appreciate offsetting losses from the drop in the long position's value.Moving together with Allied Stock
Moving against Allied Stock
The ability to find closely correlated positions to Allied Industrial could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Allied Industrial 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 Allied Industrial - 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 Allied Industrial to buy it.
The correlation of Allied Industrial 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 Allied Industrial moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Allied Industrial 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 Allied Industrial 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 Allied Stock Analysis
When running Allied Industrial's price analysis, check to measure Allied Industrial'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 Allied Industrial is operating at the current time. Most of Allied Industrial's value examination focuses on studying past and present price action to predict the probability of Allied Industrial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Allied Industrial's price. Additionally, you may evaluate how the addition of Allied Industrial to your portfolios can decrease your overall portfolio volatility.