Indorama Ventures (Germany) Market Value
| I93A Stock | EUR 0.68 0.01 1.45% |
| Symbol | Indorama |
Indorama Ventures '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 Indorama Ventures' 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 Indorama Ventures.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Indorama Ventures on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Indorama Ventures PCL or generate 0.0% return on investment in Indorama Ventures over 720 days. Indorama Ventures is related to or competes with AIR LIQUIDE, Shin-Etsu Chemical, BASF SE, BASF SE, and BASF SE. Indorama Ventures Public Company Limited produces and distributes polyethylene terephthalate , purified terephthalic aci... More
Indorama Ventures 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 Indorama Ventures' 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 Indorama Ventures PCL upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.52 | |||
| Information Ratio | 0.2075 | |||
| Maximum Drawdown | 34.14 | |||
| Value At Risk | (2.04) | |||
| Potential Upside | 5.26 |
Indorama Ventures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Indorama Ventures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Indorama Ventures' standard deviation. In reality, there are many statistical measures that can use Indorama Ventures historical prices to predict the future Indorama Ventures' volatility.| Risk Adjusted Performance | 0.1895 | |||
| Jensen Alpha | 0.9046 | |||
| Total Risk Alpha | 0.3164 | |||
| Sortino Ratio | 0.3835 | |||
| Treynor Ratio | 0.7378 |
Indorama Ventures PCL Backtested Returns
Indorama Ventures appears to be abnormally volatile, given 3 months investment horizon. Indorama Ventures PCL holds Efficiency (Sharpe) Ratio of 0.22, which attests that the entity had a 0.22% return per unit of risk over the last 3 months. By evaluating Indorama Ventures' technical indicators, you can evaluate if the expected return of 0.99% is justified by implied risk. Please utilize Indorama Ventures' Downside Deviation of 2.52, market risk adjusted performance of 0.7478, and Risk Adjusted Performance of 0.1895 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Indorama Ventures holds a performance score of 16. The company retains a Market Volatility (i.e., Beta) of 1.48, which attests to a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Indorama Ventures will likely underperform. Please check Indorama Ventures' coefficient of variation, jensen alpha, and the relationship between the downside deviation and information ratio , to make a quick decision on whether Indorama Ventures' current trending patterns will revert.
Auto-correlation | 0.82 |
Very good predictability
Indorama Ventures PCL has very good predictability. Overlapping area represents the amount of predictability between Indorama Ventures time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 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 Indorama Ventures PCL price movement. The serial correlation of 0.82 indicates that around 82.0% of current Indorama Ventures price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.89 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Indorama Ventures PCL lagged returns against current returns
Autocorrelation, which is Indorama Ventures 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 Indorama Ventures' stock expected returns. We can calculate the autocorrelation of Indorama Ventures returns to help us make a trade decision. For example, suppose you find that Indorama Ventures 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 |
Indorama Ventures 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 Indorama Ventures stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Indorama Ventures stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Indorama Ventures stock over time.
Current vs Lagged Prices |
| Timeline |
Indorama Ventures Lagged Returns
When evaluating Indorama Ventures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Indorama Ventures stock have on its future price. Indorama Ventures 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, Indorama Ventures autocorrelation shows the relationship between Indorama Ventures stock current value and its past values and can show if there is a momentum factor associated with investing in Indorama Ventures PCL.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Indorama Stock
Indorama Ventures financial ratios help investors to determine whether Indorama Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Indorama with respect to the benefits of owning Indorama Ventures security.