Dat Phuong (Vietnam) Market Value
| DPG Stock | 51,300 600.00 1.16% |
| Symbol | Dat |
Dat Phuong '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 Dat Phuong'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 Dat Phuong.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Dat Phuong on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Dat Phuong JSC or generate 0.0% return on investment in Dat Phuong over 30 days.
Dat Phuong 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 Dat Phuong'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 Dat Phuong JSC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 12.04 | |||
| Value At Risk | (3.21) | |||
| Potential Upside | 2.8 |
Dat Phuong Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Dat Phuong's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Dat Phuong's standard deviation. In reality, there are many statistical measures that can use Dat Phuong historical prices to predict the future Dat Phuong's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.32) | |||
| Treynor Ratio | (0.31) |
Dat Phuong JSC Backtested Returns
Dat Phuong JSC secures Sharpe Ratio (or Efficiency) of -0.0349, which denotes the company had a -0.0349% return per unit of risk over the last 3 months. Dat Phuong JSC exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Dat Phuong's Variance of 3.36, mean deviation of 1.24, and Standard Deviation of 1.83 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.15, which means not very significant fluctuations relative to the market. As returns on the market increase, Dat Phuong's returns are expected to increase less than the market. However, during the bear market, the loss of holding Dat Phuong is expected to be smaller as well. At this point, Dat Phuong JSC has a negative expected return of -0.0645%. Please make sure to confirm Dat Phuong's skewness, as well as the relationship between the rate of daily change and price action indicator , to decide if Dat Phuong JSC performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.61 |
Good predictability
Dat Phuong JSC has good predictability. Overlapping area represents the amount of predictability between Dat Phuong 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 Dat Phuong JSC price movement. The serial correlation of 0.61 indicates that roughly 61.0% of current Dat Phuong price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.61 | |
| Spearman Rank Test | 0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 375.2 K |
Dat Phuong JSC lagged returns against current returns
Autocorrelation, which is Dat Phuong 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 Dat Phuong's stock expected returns. We can calculate the autocorrelation of Dat Phuong returns to help us make a trade decision. For example, suppose you find that Dat Phuong 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 |
Dat Phuong 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 Dat Phuong stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Dat Phuong stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Dat Phuong stock over time.
Current vs Lagged Prices |
| Timeline |
Dat Phuong Lagged Returns
When evaluating Dat Phuong's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Dat Phuong stock have on its future price. Dat Phuong 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, Dat Phuong autocorrelation shows the relationship between Dat Phuong stock current value and its past values and can show if there is a momentum factor associated with investing in Dat Phuong JSC.
Regressed Prices |
| Timeline |
Pair Trading with Dat Phuong
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 Dat Phuong 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 Dat Phuong will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Dat Phuong could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Dat Phuong 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 Dat Phuong - 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 Dat Phuong JSC to buy it.
The correlation of Dat Phuong 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 Dat Phuong moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Dat Phuong 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 Dat Phuong 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.