Yuanta Futures (Taiwan) Market Value
| 6023 Stock | TWD 90.90 1.00 1.11% |
| Symbol | Yuanta |
Yuanta Futures '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 Yuanta Futures' 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 Yuanta Futures.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in Yuanta Futures on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding Yuanta Futures Co or generate 0.0% return on investment in Yuanta Futures over 180 days. Yuanta Futures is related to or competes with United Radiant, Johnson Chemical, Univacco Technology, Chi Sheng, Chung Hwa, Standard Chemical, and Shinkong Synthetic. Yuanta Futures Co., Ltd. provides futures brokerage, proprietary futures and securities trading, futures consultation, f... More
Yuanta Futures 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 Yuanta Futures' 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 Yuanta Futures Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7702 | |||
| Information Ratio | 0.0066 | |||
| Maximum Drawdown | 4.81 | |||
| Value At Risk | (1.09) | |||
| Potential Upside | 1.59 |
Yuanta Futures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Yuanta Futures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Yuanta Futures' standard deviation. In reality, there are many statistical measures that can use Yuanta Futures historical prices to predict the future Yuanta Futures' volatility.| Risk Adjusted Performance | 0.1276 | |||
| Jensen Alpha | 0.1129 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.0075 | |||
| Treynor Ratio | 0.8303 |
Yuanta Futures Backtested Returns
At this stage we consider Yuanta Stock to be very steady. Yuanta Futures shows Sharpe Ratio of 0.16, which attests that the company had a 0.16% return per unit of risk over the last 3 months. We have found thirty technical indicators for Yuanta Futures, which you can use to evaluate the volatility of the company. Please check out Yuanta Futures' Downside Deviation of 0.7702, mean deviation of 0.607, and Market Risk Adjusted Performance of 0.8403 to validate if the risk estimate we provide is consistent with the expected return of 0.14%. Yuanta Futures has a performance score of 12 on a scale of 0 to 100. The firm maintains a market beta of 0.16, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Yuanta Futures' returns are expected to increase less than the market. However, during the bear market, the loss of holding Yuanta Futures is expected to be smaller as well. Yuanta Futures right now maintains a risk of 0.87%. Please check out Yuanta Futures downside deviation, standard deviation, and the relationship between the semi deviation and coefficient of variation , to decide if Yuanta Futures will be following its historical returns.
Auto-correlation | -0.15 |
Insignificant reverse predictability
Yuanta Futures Co has insignificant reverse predictability. Overlapping area represents the amount of predictability between Yuanta Futures time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 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 Yuanta Futures price movement. The serial correlation of -0.15 indicates that less than 15.0% of current Yuanta Futures price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | -0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 7.55 |
Yuanta Futures lagged returns against current returns
Autocorrelation, which is Yuanta Futures 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 Yuanta Futures' stock expected returns. We can calculate the autocorrelation of Yuanta Futures returns to help us make a trade decision. For example, suppose you find that Yuanta Futures 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 |
Yuanta Futures 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 Yuanta Futures stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Yuanta Futures stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Yuanta Futures stock over time.
Current vs Lagged Prices |
| Timeline |
Yuanta Futures Lagged Returns
When evaluating Yuanta Futures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Yuanta Futures stock have on its future price. Yuanta Futures 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, Yuanta Futures autocorrelation shows the relationship between Yuanta Futures stock current value and its past values and can show if there is a momentum factor associated with investing in Yuanta Futures Co.
Regressed Prices |
| Timeline |
Pair Trading with Yuanta Futures
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 Yuanta Futures 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 Yuanta Futures will appreciate offsetting losses from the drop in the long position's value.Moving together with Yuanta Stock
Moving against Yuanta Stock
| 0.79 | 6291 | Analog Integrations | PairCorr |
| 0.68 | 5274 | Aspeed Technology | PairCorr |
| 0.6 | 2889 | IBF Financial Holdings | PairCorr |
| 0.48 | 6026 | Grand Fortune Securities | PairCorr |
| 0.42 | 3228 | RDC Semiconductor | PairCorr |
The ability to find closely correlated positions to Yuanta Futures could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Yuanta Futures 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 Yuanta Futures - 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 Yuanta Futures Co to buy it.
The correlation of Yuanta Futures 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 Yuanta Futures moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Yuanta Futures 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 Yuanta Futures 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 Yuanta Stock Analysis
When running Yuanta Futures' price analysis, check to measure Yuanta Futures' 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 Yuanta Futures is operating at the current time. Most of Yuanta Futures' value examination focuses on studying past and present price action to predict the probability of Yuanta Futures' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Yuanta Futures' price. Additionally, you may evaluate how the addition of Yuanta Futures to your portfolios can decrease your overall portfolio volatility.