CPC (Vietnam) Market Value
| CPC Stock | 18,200 500.00 2.82% |
| Symbol | CPC |
CPC '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 CPC'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 CPC.
| 09/02/2024 |
| 12/01/2024 |
If you would invest 0.00 in CPC on September 2, 2024 and sell it all today you would earn a total of 0.00 from holding CPC or generate 0.0% return on investment in CPC over 90 days.
CPC 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 CPC'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 CPC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.76 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 10.82 | |||
| Value At Risk | (1.67) | |||
| Potential Upside | 2.21 |
CPC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CPC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CPC's standard deviation. In reality, there are many statistical measures that can use CPC historical prices to predict the future CPC's volatility.| Risk Adjusted Performance | 0.0189 | |||
| Jensen Alpha | 0.0312 | |||
| Total Risk Alpha | (0.22) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | (0.14) |
CPC Backtested Returns
As of now, CPC Stock is very steady. CPC retains Efficiency (Sharpe Ratio) of 0.0297, which signifies that the company had a 0.0297% return per unit of risk over the last 3 months. We have found thirty technical indicators for CPC, which you can use to evaluate the volatility of the firm. Please confirm CPC's coefficient of variation of 5304.58, and Market Risk Adjusted Performance of (0.13) to double-check if the risk estimate we provide is consistent with the expected return of 0.0468%. CPC has a performance score of 2 on a scale of 0 to 100. The firm owns a Beta (Systematic Risk) of -0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning CPC are expected to decrease at a much lower rate. During the bear market, CPC is likely to outperform the market. CPC at this time owns a risk of 1.58%. Please confirm CPC potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to decide if CPC will be following its current price history.
Auto-correlation | -0.1 |
Very weak reverse predictability
CPC has very weak reverse predictability. Overlapping area represents the amount of predictability between CPC time series from 2nd of September 2024 to 17th of October 2024 and 17th of October 2024 to 1st 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 CPC price movement. The serial correlation of -0.1 indicates that less than 10.0% of current CPC price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.1 | |
| Spearman Rank Test | -0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 21.4 K |
CPC lagged returns against current returns
Autocorrelation, which is CPC 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 CPC's stock expected returns. We can calculate the autocorrelation of CPC returns to help us make a trade decision. For example, suppose you find that CPC 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 |
CPC 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 CPC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CPC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CPC stock over time.
Current vs Lagged Prices |
| Timeline |
CPC Lagged Returns
When evaluating CPC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CPC stock have on its future price. CPC 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, CPC autocorrelation shows the relationship between CPC stock current value and its past values and can show if there is a momentum factor associated with investing in CPC.
Regressed Prices |
| Timeline |
Pair Trading with CPC
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 CPC 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 CPC will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to CPC could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CPC 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 CPC - 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 CPC to buy it.
The correlation of CPC 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 CPC moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CPC 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 CPC 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.