Vietnam Airlines (Vietnam) Market Value
| HVN Stock | 27,400 50.00 0.18% |
| Symbol | Vietnam |
Vietnam Airlines '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 Vietnam Airlines' 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 Vietnam Airlines.
| 09/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Vietnam Airlines on September 30, 2024 and sell it all today you would earn a total of 0.00 from holding Vietnam Airlines JSC or generate 0.0% return on investment in Vietnam Airlines over 60 days.
Vietnam Airlines 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 Vietnam Airlines' 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 Vietnam Airlines JSC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.08 | |||
| Information Ratio | 0.0906 | |||
| Maximum Drawdown | 10.8 | |||
| Value At Risk | (3.23) | |||
| Potential Upside | 4.78 |
Vietnam Airlines Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vietnam Airlines' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vietnam Airlines' standard deviation. In reality, there are many statistical measures that can use Vietnam Airlines historical prices to predict the future Vietnam Airlines' volatility.| Risk Adjusted Performance | 0.1152 | |||
| Jensen Alpha | 0.302 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.1077 | |||
| Treynor Ratio | 1.05 |
Vietnam Airlines JSC Backtested Returns
Vietnam Airlines appears to be very steady, given 3 months investment horizon. Vietnam Airlines JSC owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.17, which indicates the firm had a 0.17% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Vietnam Airlines JSC, which you can use to evaluate the volatility of the company. Please review Vietnam Airlines' Coefficient Of Variation of 707.68, risk adjusted performance of 0.1152, and Semi Deviation of 1.74 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Vietnam Airlines holds a performance score of 13. The entity has a beta of 0.32, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vietnam Airlines' returns are expected to increase less than the market. However, during the bear market, the loss of holding Vietnam Airlines is expected to be smaller as well. Please check Vietnam Airlines' downside variance, day median price, and the relationship between the treynor ratio and kurtosis , to make a quick decision on whether Vietnam Airlines' existing price patterns will revert.
Auto-correlation | 0.11 |
Insignificant predictability
Vietnam Airlines JSC has insignificant predictability. Overlapping area represents the amount of predictability between Vietnam Airlines time series from 30th of September 2024 to 30th of October 2024 and 30th of October 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 Vietnam Airlines JSC price movement. The serial correlation of 0.11 indicates that less than 11.0% of current Vietnam Airlines price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.11 | |
| Spearman Rank Test | -0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 3.7 M |
Vietnam Airlines JSC lagged returns against current returns
Autocorrelation, which is Vietnam Airlines 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 Vietnam Airlines' stock expected returns. We can calculate the autocorrelation of Vietnam Airlines returns to help us make a trade decision. For example, suppose you find that Vietnam Airlines 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 |
Vietnam Airlines 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 Vietnam Airlines stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vietnam Airlines stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vietnam Airlines stock over time.
Current vs Lagged Prices |
| Timeline |
Vietnam Airlines Lagged Returns
When evaluating Vietnam Airlines' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vietnam Airlines stock have on its future price. Vietnam Airlines 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, Vietnam Airlines autocorrelation shows the relationship between Vietnam Airlines stock current value and its past values and can show if there is a momentum factor associated with investing in Vietnam Airlines JSC.
Regressed Prices |
| Timeline |
Pair Trading with Vietnam Airlines
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 Vietnam Airlines 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 Vietnam Airlines will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Vietnam Airlines could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vietnam Airlines 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 Vietnam Airlines - 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 Vietnam Airlines JSC to buy it.
The correlation of Vietnam Airlines 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 Vietnam Airlines moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vietnam Airlines 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 Vietnam Airlines 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.