Cipherlab (Taiwan) Market Value
| 6160 Stock | TWD 24.45 0.85 3.60% |
| Symbol | Cipherlab |
Cipherlab '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 Cipherlab'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 Cipherlab.
| 11/25/2024 |
| 12/25/2024 |
If you would invest 0.00 in Cipherlab on November 25, 2024 and sell it all today you would earn a total of 0.00 from holding Cipherlab Co or generate 0.0% return on investment in Cipherlab over 30 days. Cipherlab is related to or competes with GeoVision, Flytech Technology, Quanta Storage, Coretronic, and Kenmec Mechanical. More
Cipherlab 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 Cipherlab'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 Cipherlab Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 8.15 | |||
| Value At Risk | (2.55) | |||
| Potential Upside | 3.02 |
Cipherlab Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Cipherlab's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Cipherlab's standard deviation. In reality, there are many statistical measures that can use Cipherlab historical prices to predict the future Cipherlab's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.14) | |||
| Treynor Ratio | (0.31) |
Cipherlab Backtested Returns
Cipherlab secures Sharpe Ratio (or Efficiency) of -0.0416, which signifies that the company had a -0.0416% return per unit of risk over the last 3 months. Cipherlab Co exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Cipherlab's Risk Adjusted Performance of (0.02), mean deviation of 1.38, and Standard Deviation of 1.77 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.21, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Cipherlab's returns are expected to increase less than the market. However, during the bear market, the loss of holding Cipherlab is expected to be smaller as well. At this point, Cipherlab has a negative expected return of -0.0732%. Please make sure to confirm Cipherlab's information ratio, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Cipherlab performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.52 |
Good reverse predictability
Cipherlab Co has good reverse predictability. Overlapping area represents the amount of predictability between Cipherlab time series from 25th of November 2024 to 10th of December 2024 and 10th of December 2024 to 25th of December 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 Cipherlab price movement. The serial correlation of -0.52 indicates that about 52.0% of current Cipherlab price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.52 | |
| Spearman Rank Test | -0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 0.24 |
Cipherlab lagged returns against current returns
Autocorrelation, which is Cipherlab 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 Cipherlab's stock expected returns. We can calculate the autocorrelation of Cipherlab returns to help us make a trade decision. For example, suppose you find that Cipherlab 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 |
Cipherlab 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 Cipherlab stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Cipherlab stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Cipherlab stock over time.
Current vs Lagged Prices |
| Timeline |
Cipherlab Lagged Returns
When evaluating Cipherlab's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Cipherlab stock have on its future price. Cipherlab 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, Cipherlab autocorrelation shows the relationship between Cipherlab stock current value and its past values and can show if there is a momentum factor associated with investing in Cipherlab Co.
Regressed Prices |
| Timeline |
Pair Trading with Cipherlab
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 Cipherlab 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 Cipherlab will appreciate offsetting losses from the drop in the long position's value.Moving together with Cipherlab Stock
Moving against Cipherlab Stock
| 0.82 | 5530 | Lungyen Life Service | PairCorr |
| 0.75 | 2379 | Realtek Semiconductor | PairCorr |
| 0.71 | 6669 | Wiwynn Corp | PairCorr |
| 0.64 | 2883 | China Development | PairCorr |
| 0.62 | 6811 | Acer E Enabling | PairCorr |
The ability to find closely correlated positions to Cipherlab could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Cipherlab 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 Cipherlab - 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 Cipherlab Co to buy it.
The correlation of Cipherlab 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 Cipherlab moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Cipherlab 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 Cipherlab 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 Cipherlab Stock Analysis
When running Cipherlab's price analysis, check to measure Cipherlab'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 Cipherlab is operating at the current time. Most of Cipherlab's value examination focuses on studying past and present price action to predict the probability of Cipherlab's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Cipherlab's price. Additionally, you may evaluate how the addition of Cipherlab to your portfolios can decrease your overall portfolio volatility.