Cementos Argos (Chile) Market Value
| CEMARGOSCL | 2,115 451.60 27.14% |
| Symbol | Cementos |
Cementos Argos '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 Cementos Argos' 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 Cementos Argos.
| 06/05/2024 |
| 12/02/2024 |
If you would invest 0.00 in Cementos Argos on June 5, 2024 and sell it all today you would earn a total of 0.00 from holding Cementos Argos SA or generate 0.0% return on investment in Cementos Argos over 180 days.
Cementos Argos 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 Cementos Argos' 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 Cementos Argos SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0111 | |||
| Maximum Drawdown | 48.49 |
Cementos Argos Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Cementos Argos' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Cementos Argos' standard deviation. In reality, there are many statistical measures that can use Cementos Argos historical prices to predict the future Cementos Argos' volatility.| Risk Adjusted Performance | 0.0354 | |||
| Jensen Alpha | 0.1099 | |||
| Total Risk Alpha | (0.77) | |||
| Treynor Ratio | 0.2999 |
Cementos Argos SA Backtested Returns
Cementos Argos appears to be very steady, given 3 months investment horizon. Cementos Argos SA secures Sharpe Ratio (or Efficiency) of 0.0598, which signifies that the company had a 0.0598% return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Cementos Argos SA, which you can use to evaluate the volatility of the firm. Please makes use of Cementos Argos' Mean Deviation of 1.66, risk adjusted performance of 0.0354, and Standard Deviation of 5.75 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Cementos Argos holds a performance score of 4. The firm shows a Beta (market volatility) of 0.64, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Cementos Argos' returns are expected to increase less than the market. However, during the bear market, the loss of holding Cementos Argos is expected to be smaller as well. Please check Cementos Argos' standard deviation, treynor ratio, as well as the relationship between the Treynor Ratio and day median price , to make a quick decision on whether Cementos Argos' price patterns will revert.
Auto-correlation | -0.36 |
Poor reverse predictability
Cementos Argos SA has poor reverse predictability. Overlapping area represents the amount of predictability between Cementos Argos time series from 5th of June 2024 to 3rd of September 2024 and 3rd of September 2024 to 2nd 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 Cementos Argos SA price movement. The serial correlation of -0.36 indicates that just about 36.0% of current Cementos Argos price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.36 | |
| Spearman Rank Test | -0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 19.5 K |
Cementos Argos SA lagged returns against current returns
Autocorrelation, which is Cementos Argos 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 Cementos Argos' stock expected returns. We can calculate the autocorrelation of Cementos Argos returns to help us make a trade decision. For example, suppose you find that Cementos Argos 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 |
Cementos Argos 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 Cementos Argos stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Cementos Argos stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Cementos Argos stock over time.
Current vs Lagged Prices |
| Timeline |
Cementos Argos Lagged Returns
When evaluating Cementos Argos' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Cementos Argos stock have on its future price. Cementos Argos 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, Cementos Argos autocorrelation shows the relationship between Cementos Argos stock current value and its past values and can show if there is a momentum factor associated with investing in Cementos Argos SA.
Regressed Prices |
| Timeline |
Pair Trading with Cementos Argos
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 Cementos Argos 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 Cementos Argos will appreciate offsetting losses from the drop in the long position's value.Moving against Cementos Stock
The ability to find closely correlated positions to Cementos Argos could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Cementos Argos 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 Cementos Argos - 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 Cementos Argos SA to buy it.
The correlation of Cementos Argos 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 Cementos Argos moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Cementos Argos SA 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 Cementos Argos 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.