Pak Agro (Pakistan) Market Value
| GEMPAPL Stock | 8.25 0.50 5.71% |
| Symbol | Pak |
Pak Agro '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 Pak Agro'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 Pak Agro.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Pak Agro on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Pak Agro Pack or generate 0.0% return on investment in Pak Agro over 30 days.
Pak Agro 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 Pak Agro'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 Pak Agro Pack upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 6.72 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 26.76 | |||
| Value At Risk | (11.11) | |||
| Potential Upside | 12.7 |
Pak Agro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pak Agro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pak Agro's standard deviation. In reality, there are many statistical measures that can use Pak Agro historical prices to predict the future Pak Agro's volatility.| Risk Adjusted Performance | 0.0191 | |||
| Jensen Alpha | 0.0383 | |||
| Total Risk Alpha | (1.00) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.2068 |
Pak Agro Pack Backtested Returns
Pak Agro appears to be unstable, given 3 months investment horizon. Pak Agro Pack maintains Sharpe Ratio (i.e., Efficiency) of 0.0631, which implies the firm had a 0.0631% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Pak Agro Pack, which you can use to evaluate the volatility of the company. Please evaluate Pak Agro's Coefficient Of Variation of 7138.01, semi deviation of 5.71, and Risk Adjusted Performance of 0.0191 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Pak Agro holds a performance score of 4. The company holds a Beta of 0.41, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Pak Agro's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pak Agro is expected to be smaller as well. Please check Pak Agro's jensen alpha, potential upside, daily balance of power, as well as the relationship between the treynor ratio and expected short fall , to make a quick decision on whether Pak Agro's historical price patterns will revert.
Auto-correlation | -0.02 |
Very weak reverse predictability
Pak Agro Pack has very weak reverse predictability. Overlapping area represents the amount of predictability between Pak Agro time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 Pak Agro Pack price movement. The serial correlation of -0.02 indicates that only 2.0% of current Pak Agro price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.02 | |
| Spearman Rank Test | -0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.19 |
Pak Agro Pack lagged returns against current returns
Autocorrelation, which is Pak Agro 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 Pak Agro's stock expected returns. We can calculate the autocorrelation of Pak Agro returns to help us make a trade decision. For example, suppose you find that Pak Agro 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 |
Pak Agro 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 Pak Agro stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pak Agro stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pak Agro stock over time.
Current vs Lagged Prices |
| Timeline |
Pak Agro Lagged Returns
When evaluating Pak Agro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pak Agro stock have on its future price. Pak Agro 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, Pak Agro autocorrelation shows the relationship between Pak Agro stock current value and its past values and can show if there is a momentum factor associated with investing in Pak Agro Pack.
Regressed Prices |
| Timeline |
Pair Trading with Pak Agro
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 Pak Agro 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 Pak Agro will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Pak Agro could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Pak Agro 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 Pak Agro - 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 Pak Agro Pack to buy it.
The correlation of Pak Agro 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 Pak Agro moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pak Agro Pack 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 Pak Agro 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.