Ghani Chemical (Pakistan) Market Value
| GCIL Stock | 13.57 0.81 5.63% |
| Symbol | Ghani |
Ghani Chemical '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 Ghani Chemical'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 Ghani Chemical.
| 05/07/2023 |
| 11/27/2024 |
If you would invest 0.00 in Ghani Chemical on May 7, 2023 and sell it all today you would earn a total of 0.00 from holding Ghani Chemical Industries or generate 0.0% return on investment in Ghani Chemical over 570 days.
Ghani Chemical 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 Ghani Chemical'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 Ghani Chemical Industries upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.39 | |||
| Information Ratio | 0.1269 | |||
| Maximum Drawdown | 15.1 | |||
| Value At Risk | (3.75) | |||
| Potential Upside | 9.88 |
Ghani Chemical Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ghani Chemical's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ghani Chemical's standard deviation. In reality, there are many statistical measures that can use Ghani Chemical historical prices to predict the future Ghani Chemical's volatility.| Risk Adjusted Performance | 0.1322 | |||
| Jensen Alpha | 0.4513 | |||
| Total Risk Alpha | 0.017 | |||
| Sortino Ratio | 0.1911 | |||
| Treynor Ratio | 0.5524 |
Ghani Chemical Industries Backtested Returns
Ghani Chemical appears to be not too volatile, given 3 months investment horizon. Ghani Chemical Industries holds Efficiency (Sharpe) Ratio of 0.15, which attests that the entity had a 0.15% return per unit of standard deviation over the last 3 months. By evaluating Ghani Chemical's technical indicators, you can evaluate if the expected return of 0.54% is justified by implied risk. Please utilize Ghani Chemical's risk adjusted performance of 0.1322, and Market Risk Adjusted Performance of 0.5624 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Ghani Chemical holds a performance score of 11. The company retains a Market Volatility (i.e., Beta) of 1.04, which attests to a somewhat significant risk relative to the market. Ghani Chemical returns are very sensitive to returns on the market. As the market goes up or down, Ghani Chemical is expected to follow. Please check Ghani Chemical's market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to make a quick decision on whether Ghani Chemical's current trending patterns will revert.
Auto-correlation | 0.01 |
Virtually no predictability
Ghani Chemical Industries has virtually no predictability. Overlapping area represents the amount of predictability between Ghani Chemical time series from 7th of May 2023 to 16th of February 2024 and 16th of February 2024 to 27th 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 Ghani Chemical Industries price movement. The serial correlation of 0.01 indicates that just 1.0% of current Ghani Chemical price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.01 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 1.79 |
Ghani Chemical Industries lagged returns against current returns
Autocorrelation, which is Ghani Chemical 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 Ghani Chemical's stock expected returns. We can calculate the autocorrelation of Ghani Chemical returns to help us make a trade decision. For example, suppose you find that Ghani Chemical 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 |
Ghani Chemical 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 Ghani Chemical stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ghani Chemical stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ghani Chemical stock over time.
Current vs Lagged Prices |
| Timeline |
Ghani Chemical Lagged Returns
When evaluating Ghani Chemical's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ghani Chemical stock have on its future price. Ghani Chemical 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, Ghani Chemical autocorrelation shows the relationship between Ghani Chemical stock current value and its past values and can show if there is a momentum factor associated with investing in Ghani Chemical Industries.
Regressed Prices |
| Timeline |
Pair Trading with Ghani Chemical
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 Ghani Chemical 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 Ghani Chemical will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Ghani Chemical could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Ghani Chemical 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 Ghani Chemical - 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 Ghani Chemical Industries to buy it.
The correlation of Ghani Chemical 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 Ghani Chemical moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Ghani Chemical Industries 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 Ghani Chemical 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.