CMC JSC (Vietnam) Market Value
| CVT Stock | 24,300 900.00 3.57% |
| Symbol | CMC |
CMC JSC '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 CMC JSC'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 CMC JSC.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in CMC JSC on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding CMC JSC or generate 0.0% return on investment in CMC JSC over 30 days.
CMC JSC 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 CMC JSC'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 CMC JSC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 13.27 | |||
| Value At Risk | (6.04) | |||
| Potential Upside | 5.02 |
CMC JSC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CMC JSC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CMC JSC's standard deviation. In reality, there are many statistical measures that can use CMC JSC historical prices to predict the future CMC JSC's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.65) | |||
| Treynor Ratio | (0.71) |
CMC JSC Backtested Returns
CMC JSC retains Efficiency (Sharpe Ratio) of -0.0897, which signifies that the company had a -0.0897% return per unit of risk over the last 3 months. CMC JSC exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm CMC JSC's market risk adjusted performance of (0.70), and Variance of 9.8 to double-check the risk estimate we provide. The firm owns a Beta (Systematic Risk) of 0.25, which signifies not very significant fluctuations relative to the market. As returns on the market increase, CMC JSC's returns are expected to increase less than the market. However, during the bear market, the loss of holding CMC JSC is expected to be smaller as well. At this point, CMC JSC has a negative expected return of -0.29%. Please make sure to confirm CMC JSC's value at risk, and the relationship between the jensen alpha and accumulation distribution , to decide if CMC JSC performance from the past will be repeated in the future.
Auto-correlation | -0.26 |
Weak reverse predictability
CMC JSC has weak reverse predictability. Overlapping area represents the amount of predictability between CMC JSC time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 CMC JSC price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current CMC JSC price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.26 | |
| Spearman Rank Test | -0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 292.2 K |
CMC JSC lagged returns against current returns
Autocorrelation, which is CMC JSC 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 CMC JSC's stock expected returns. We can calculate the autocorrelation of CMC JSC returns to help us make a trade decision. For example, suppose you find that CMC JSC 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 |
CMC JSC 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 CMC JSC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CMC JSC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CMC JSC stock over time.
Current vs Lagged Prices |
| Timeline |
CMC JSC Lagged Returns
When evaluating CMC JSC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CMC JSC stock have on its future price. CMC JSC 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, CMC JSC autocorrelation shows the relationship between CMC JSC stock current value and its past values and can show if there is a momentum factor associated with investing in CMC JSC.
Regressed Prices |
| Timeline |
Pair Trading with CMC JSC
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 CMC JSC 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 CMC JSC will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to CMC JSC could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CMC JSC 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 CMC JSC - 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 CMC JSC to buy it.
The correlation of CMC JSC 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 CMC JSC moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CMC 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 CMC JSC 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.