Dabaco (Vietnam) Market Value
| DBC Stock | 26,900 400.00 1.51% |
| Symbol | Dabaco |
Dabaco '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 Dabaco'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 Dabaco.
| 05/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in Dabaco on May 6, 2024 and sell it all today you would earn a total of 0.00 from holding Dabaco or generate 0.0% return on investment in Dabaco over 210 days.
Dabaco 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 Dabaco'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 Dabaco upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 7.89 | |||
| Value At Risk | (2.41) | |||
| Potential Upside | 1.98 |
Dabaco Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Dabaco's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Dabaco's standard deviation. In reality, there are many statistical measures that can use Dabaco historical prices to predict the future Dabaco's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.33) | |||
| Treynor Ratio | (0.21) |
Dabaco Backtested Returns
Dabaco secures Sharpe Ratio (or Efficiency) of -0.0312, which denotes the company had a -0.0312% return per unit of standard deviation over the last 3 months. Dabaco exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Dabaco's Mean Deviation of 1.22, coefficient of variation of (2,020), and Standard Deviation of 1.49 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.41, which means possible diversification benefits within a given portfolio. As returns on the market increase, Dabaco's returns are expected to increase less than the market. However, during the bear market, the loss of holding Dabaco is expected to be smaller as well. At this point, Dabaco has a negative expected return of -0.0462%. Please make sure to confirm Dabaco's value at risk, rate of daily change, and the relationship between the total risk alpha and kurtosis , to decide if Dabaco performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.43 |
Average predictability
Dabaco has average predictability. Overlapping area represents the amount of predictability between Dabaco time series from 6th of May 2024 to 19th of August 2024 and 19th of August 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 Dabaco price movement. The serial correlation of 0.43 indicates that just about 43.0% of current Dabaco price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.43 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 1.5 M |
Dabaco lagged returns against current returns
Autocorrelation, which is Dabaco 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 Dabaco's stock expected returns. We can calculate the autocorrelation of Dabaco returns to help us make a trade decision. For example, suppose you find that Dabaco 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 |
Dabaco 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 Dabaco stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Dabaco stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Dabaco stock over time.
Current vs Lagged Prices |
| Timeline |
Dabaco Lagged Returns
When evaluating Dabaco's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Dabaco stock have on its future price. Dabaco 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, Dabaco autocorrelation shows the relationship between Dabaco stock current value and its past values and can show if there is a momentum factor associated with investing in Dabaco.
Regressed Prices |
| Timeline |
Pair Trading with Dabaco
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 Dabaco 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 Dabaco will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Dabaco could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Dabaco 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 Dabaco - 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 Dabaco to buy it.
The correlation of Dabaco 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 Dabaco moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Dabaco 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 Dabaco 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.