Advantest Stock Market Value
| ADTTF Stock | USD 62.50 0.00 0.00% |
| Symbol | Advantest |
Advantest '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 Advantest's pink sheet 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 Advantest.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Advantest on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Advantest or generate 0.0% return on investment in Advantest over 30 days. Advantest is related to or competes with Tokyo Electron, Ultra Clean, Applied Materials, Sumco Corp, Lasertec, Tokyo Electron, and Disco Corp. Advantest Corporation manufactures and sells semiconductor and component test system products and mechatronics-related p... More
Advantest 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 Advantest's pink sheet 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 Advantest upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.1731 | |||
| Maximum Drawdown | 15.75 | |||
| Potential Upside | 5.41 |
Advantest Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Advantest's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Advantest's standard deviation. In reality, there are many statistical measures that can use Advantest historical prices to predict the future Advantest's volatility.| Risk Adjusted Performance | 0.1751 | |||
| Jensen Alpha | 0.653 | |||
| Total Risk Alpha | 0.1657 | |||
| Treynor Ratio | (2.11) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Advantest's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Advantest Backtested Returns
Advantest appears to be very steady, given 3 months investment horizon. Advantest secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that the company had a 0.23% return per unit of risk over the last 3 months. By analyzing Advantest's technical indicators, you can evaluate if the expected return of 0.67% is justified by implied risk. Please makes use of Advantest's Risk Adjusted Performance of 0.1751, standard deviation of 2.87, and Mean Deviation of 1.21 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Advantest holds a performance score of 17. The firm shows a Beta (market volatility) of -0.29, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Advantest are expected to decrease at a much lower rate. During the bear market, Advantest is likely to outperform the market. Please check Advantest's jensen alpha, kurtosis, as well as the relationship between the Kurtosis and relative strength index , to make a quick decision on whether Advantest's price patterns will revert.
Auto-correlation | 0.00 |
No correlation between past and present
Advantest has no correlation between past and present. Overlapping area represents the amount of predictability between Advantest time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th 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 Advantest price movement. The serial correlation of 0.0 indicates that just 0.0% of current Advantest price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Advantest lagged returns against current returns
Autocorrelation, which is Advantest pink sheet'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 Advantest's pink sheet expected returns. We can calculate the autocorrelation of Advantest returns to help us make a trade decision. For example, suppose you find that Advantest has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Advantest 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 Advantest pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Advantest pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Advantest pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Advantest Lagged Returns
When evaluating Advantest's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Advantest pink sheet have on its future price. Advantest 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, Advantest autocorrelation shows the relationship between Advantest pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Advantest.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Advantest Pink Sheet
Advantest financial ratios help investors to determine whether Advantest Pink Sheet is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Advantest with respect to the benefits of owning Advantest security.