Johnson Chemical (Taiwan) Market Value
| 4747 Stock | TWD 69.70 0.30 0.43% |
| Symbol | Johnson |
Johnson Chemical '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 Johnson Chemical'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 Johnson Chemical.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Johnson Chemical on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Johnson Chemical Pharmaceutical or generate 0.0% return on investment in Johnson Chemical over 30 days. Johnson Chemical is related to or competes with Taiwan Semiconductor, Hon Hai, MediaTek, Chunghwa Telecom, Formosa Petrochemical, Delta Electronics, and Cathay Financial. More
Johnson Chemical 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 Johnson Chemical'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 Johnson Chemical Pharmaceutical upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 6.8 | |||
| Value At Risk | (1.86) | |||
| Potential Upside | 2.0 |
Johnson Chemical Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Johnson Chemical's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Johnson Chemical's standard deviation. In reality, there are many statistical measures that can use Johnson Chemical historical prices to predict the future Johnson Chemical's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | 0.1401 |
Johnson Chemical Pha Backtested Returns
Johnson Chemical Pha holds Efficiency (Sharpe) Ratio of -0.0058, which attests that the entity had a -0.0058% return per unit of risk over the last 3 months. Johnson Chemical Pha exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Johnson Chemical's Market Risk Adjusted Performance of 0.1501, standard deviation of 1.15, and Risk Adjusted Performance of (0.01) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.19, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Johnson Chemical are expected to decrease at a much lower rate. During the bear market, Johnson Chemical is likely to outperform the market. At this point, Johnson Chemical Pha has a negative expected return of -0.0068%. Please make sure to check out Johnson Chemical's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Johnson Chemical Pha performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.40 |
Average predictability
Johnson Chemical Pharmaceutical has average predictability. Overlapping area represents the amount of predictability between Johnson Chemical 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 Johnson Chemical Pha price movement. The serial correlation of 0.4 indicates that just about 40.0% of current Johnson Chemical price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.4 | |
| Spearman Rank Test | 0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 1.46 |
Johnson Chemical Pha lagged returns against current returns
Autocorrelation, which is Johnson Chemical 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 Johnson Chemical's stock expected returns. We can calculate the autocorrelation of Johnson Chemical returns to help us make a trade decision. For example, suppose you find that Johnson Chemical 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 |
Johnson Chemical 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 Johnson Chemical stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Johnson Chemical stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Johnson Chemical stock over time.
Current vs Lagged Prices |
| Timeline |
Johnson Chemical Lagged Returns
When evaluating Johnson Chemical's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Johnson Chemical stock have on its future price. Johnson Chemical 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, Johnson Chemical autocorrelation shows the relationship between Johnson Chemical stock current value and its past values and can show if there is a momentum factor associated with investing in Johnson Chemical Pharmaceutical.
Regressed Prices |
| Timeline |
Pair Trading with Johnson Chemical
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 Johnson Chemical 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 Johnson Chemical will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Johnson Chemical could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Johnson Chemical 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 Johnson Chemical - 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 Johnson Chemical Pharmaceutical to buy it.
The correlation of Johnson Chemical 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 Johnson Chemical moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Johnson Chemical Pha 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 Johnson Chemical 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 Johnson Stock Analysis
When running Johnson Chemical's price analysis, check to measure Johnson Chemical'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 Johnson Chemical is operating at the current time. Most of Johnson Chemical's value examination focuses on studying past and present price action to predict the probability of Johnson Chemical's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Johnson Chemical's price. Additionally, you may evaluate how the addition of Johnson Chemical to your portfolios can decrease your overall portfolio volatility.