Central Hydropower (Vietnam) Market Value
| CHP Stock | 33,050 50.00 0.15% |
| Symbol | Central |
Central Hydropower '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 Central Hydropower'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 Central Hydropower.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Central Hydropower on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Central Hydropower JSC or generate 0.0% return on investment in Central Hydropower over 30 days.
Central Hydropower 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 Central Hydropower'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 Central Hydropower JSC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.34) | |||
| Maximum Drawdown | 4.02 | |||
| Value At Risk | (1.05) | |||
| Potential Upside | 1.01 |
Central Hydropower Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Central Hydropower's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Central Hydropower's standard deviation. In reality, there are many statistical measures that can use Central Hydropower historical prices to predict the future Central Hydropower's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.18) | |||
| Treynor Ratio | 2.69 |
Central Hydropower JSC Backtested Returns
Central Hydropower JSC secures Sharpe Ratio (or Efficiency) of -0.13, which signifies that the company had a -0.13% return per unit of risk over the last 3 months. Central Hydropower JSC exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Central Hydropower's Standard Deviation of 0.6049, risk adjusted performance of (0.1), and Mean Deviation of 0.3845 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0313, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Central Hydropower are expected to decrease at a much lower rate. During the bear market, Central Hydropower is likely to outperform the market. At this point, Central Hydropower JSC has a negative expected return of -0.08%. Please make sure to confirm Central Hydropower's accumulation distribution, and the relationship between the value at risk and day typical price , to decide if Central Hydropower JSC performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.68 |
Very good reverse predictability
Central Hydropower JSC has very good reverse predictability. Overlapping area represents the amount of predictability between Central Hydropower time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Central Hydropower JSC price movement. The serial correlation of -0.68 indicates that around 68.0% of current Central Hydropower price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.68 | |
| Spearman Rank Test | -0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 20.6 K |
Central Hydropower JSC lagged returns against current returns
Autocorrelation, which is Central Hydropower 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 Central Hydropower's stock expected returns. We can calculate the autocorrelation of Central Hydropower returns to help us make a trade decision. For example, suppose you find that Central Hydropower 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 |
Central Hydropower 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 Central Hydropower stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Central Hydropower stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Central Hydropower stock over time.
Current vs Lagged Prices |
| Timeline |
Central Hydropower Lagged Returns
When evaluating Central Hydropower's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Central Hydropower stock have on its future price. Central Hydropower 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, Central Hydropower autocorrelation shows the relationship between Central Hydropower stock current value and its past values and can show if there is a momentum factor associated with investing in Central Hydropower JSC.
Regressed Prices |
| Timeline |
Pair Trading with Central Hydropower
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 Central Hydropower 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 Central Hydropower will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Central Hydropower could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Central Hydropower 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 Central Hydropower - 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 Central Hydropower JSC to buy it.
The correlation of Central Hydropower 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 Central Hydropower moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Central Hydropower JSC 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 Central Hydropower 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.