Taiwan Semiconductor (Taiwan) Market Value
| 5425 Stock | TWD 61.80 0.60 0.98% |
| Symbol | Taiwan |
Taiwan Semiconductor '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 Taiwan Semiconductor'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 Taiwan Semiconductor.
| 05/04/2023 |
| 11/24/2024 |
If you would invest 0.00 in Taiwan Semiconductor on May 4, 2023 and sell it all today you would earn a total of 0.00 from holding Taiwan Semiconductor Co or generate 0.0% return on investment in Taiwan Semiconductor over 570 days. Taiwan Semiconductor is related to or competes with Global Unichip, Asmedia Technology, Unimicron Technology, and Novatek Microelectronics. More
Taiwan Semiconductor 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 Taiwan Semiconductor'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 Taiwan Semiconductor Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 11.12 | |||
| Value At Risk | (2.46) | |||
| Potential Upside | 3.08 |
Taiwan Semiconductor Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Taiwan Semiconductor's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Taiwan Semiconductor's standard deviation. In reality, there are many statistical measures that can use Taiwan Semiconductor historical prices to predict the future Taiwan Semiconductor's volatility.| Risk Adjusted Performance | 0.0015 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.36) | |||
| Treynor Ratio | (0.08) |
Taiwan Semiconductor Backtested Returns
Taiwan Semiconductor owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0463, which indicates the firm had a -0.0463% return per unit of risk over the last 3 months. Taiwan Semiconductor Co exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Taiwan Semiconductor's Variance of 4.61, coefficient of variation of (15,426), and Risk Adjusted Performance of 0.0015 to confirm the risk estimate we provide. The entity has a beta of 0.29, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Taiwan Semiconductor's returns are expected to increase less than the market. However, during the bear market, the loss of holding Taiwan Semiconductor is expected to be smaller as well. At this point, Taiwan Semiconductor has a negative expected return of -0.0926%. Please make sure to validate Taiwan Semiconductor's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Taiwan Semiconductor performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.24 |
Weak predictability
Taiwan Semiconductor Co has weak predictability. Overlapping area represents the amount of predictability between Taiwan Semiconductor time series from 4th of May 2023 to 13th of February 2024 and 13th of February 2024 to 24th 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 Taiwan Semiconductor price movement. The serial correlation of 0.24 indicates that over 24.0% of current Taiwan Semiconductor price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 37.17 |
Taiwan Semiconductor lagged returns against current returns
Autocorrelation, which is Taiwan Semiconductor 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 Taiwan Semiconductor's stock expected returns. We can calculate the autocorrelation of Taiwan Semiconductor returns to help us make a trade decision. For example, suppose you find that Taiwan Semiconductor 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 |
Taiwan Semiconductor 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 Taiwan Semiconductor stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Taiwan Semiconductor stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Taiwan Semiconductor stock over time.
Current vs Lagged Prices |
| Timeline |
Taiwan Semiconductor Lagged Returns
When evaluating Taiwan Semiconductor's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Taiwan Semiconductor stock have on its future price. Taiwan Semiconductor 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, Taiwan Semiconductor autocorrelation shows the relationship between Taiwan Semiconductor stock current value and its past values and can show if there is a momentum factor associated with investing in Taiwan Semiconductor Co.
Regressed Prices |
| Timeline |
Pair Trading with Taiwan Semiconductor
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 Taiwan Semiconductor 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 Taiwan Semiconductor will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Taiwan Semiconductor could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Taiwan Semiconductor 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 Taiwan Semiconductor - 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 Taiwan Semiconductor Co to buy it.
The correlation of Taiwan Semiconductor 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 Taiwan Semiconductor moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Taiwan Semiconductor 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 Taiwan Semiconductor 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 Taiwan Stock Analysis
When running Taiwan Semiconductor's price analysis, check to measure Taiwan Semiconductor'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 Taiwan Semiconductor is operating at the current time. Most of Taiwan Semiconductor's value examination focuses on studying past and present price action to predict the probability of Taiwan Semiconductor's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Taiwan Semiconductor's price. Additionally, you may evaluate how the addition of Taiwan Semiconductor to your portfolios can decrease your overall portfolio volatility.