ITTEFAQ Iron (Pakistan) Market Value
| ITTEFAQ Stock | 6.29 0.30 4.55% |
| Symbol | ITTEFAQ |
ITTEFAQ Iron '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 ITTEFAQ Iron'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 ITTEFAQ Iron.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in ITTEFAQ Iron on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding ITTEFAQ Iron Industries or generate 0.0% return on investment in ITTEFAQ Iron over 720 days. ITTEFAQ Iron is related to or competes with Oil, Pakistan State, Pakistan Petroleum, Engro, Lucky Cement, Mari Petroleum, and Fauji Fertilizer. More
ITTEFAQ Iron 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 ITTEFAQ Iron'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 ITTEFAQ Iron Industries upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.01 | |||
| Information Ratio | 0.0567 | |||
| Maximum Drawdown | 25.58 | |||
| Value At Risk | (5.22) | |||
| Potential Upside | 6.03 |
ITTEFAQ Iron Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ITTEFAQ Iron's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ITTEFAQ Iron's standard deviation. In reality, there are many statistical measures that can use ITTEFAQ Iron historical prices to predict the future ITTEFAQ Iron's volatility.| Risk Adjusted Performance | 0.075 | |||
| Jensen Alpha | 0.3053 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | 0.0659 | |||
| Treynor Ratio | (3.79) |
ITTEFAQ Iron Industries Backtested Returns
Currently, ITTEFAQ Iron Industries is slightly risky. ITTEFAQ Iron Industries holds Efficiency (Sharpe) Ratio of 0.0245, which attests that the entity had a 0.0245% return per unit of volatility over the last 3 months. We have found twenty-eight technical indicators for ITTEFAQ Iron Industries, which you can use to evaluate the volatility of the firm. Please check out ITTEFAQ Iron's market risk adjusted performance of (3.78), and Risk Adjusted Performance of 0.075 to validate if the risk estimate we provide is consistent with the expected return of 0.067%. ITTEFAQ Iron has a performance score of 1 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of -0.0784, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ITTEFAQ Iron are expected to decrease at a much lower rate. During the bear market, ITTEFAQ Iron is likely to outperform the market. ITTEFAQ Iron Industries presently retains a risk of 2.73%. Please check out ITTEFAQ Iron expected short fall, and the relationship between the value at risk and daily balance of power , to decide if ITTEFAQ Iron will be following its current trending patterns.
Auto-correlation | -0.22 |
Weak reverse predictability
ITTEFAQ Iron Industries has weak reverse predictability. Overlapping area represents the amount of predictability between ITTEFAQ Iron time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 ITTEFAQ Iron Industries price movement. The serial correlation of -0.22 indicates that over 22.0% of current ITTEFAQ Iron price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.58 |
ITTEFAQ Iron Industries lagged returns against current returns
Autocorrelation, which is ITTEFAQ Iron 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 ITTEFAQ Iron's stock expected returns. We can calculate the autocorrelation of ITTEFAQ Iron returns to help us make a trade decision. For example, suppose you find that ITTEFAQ Iron 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 |
ITTEFAQ Iron 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 ITTEFAQ Iron stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ITTEFAQ Iron stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ITTEFAQ Iron stock over time.
Current vs Lagged Prices |
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ITTEFAQ Iron Lagged Returns
When evaluating ITTEFAQ Iron's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ITTEFAQ Iron stock have on its future price. ITTEFAQ Iron 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, ITTEFAQ Iron autocorrelation shows the relationship between ITTEFAQ Iron stock current value and its past values and can show if there is a momentum factor associated with investing in ITTEFAQ Iron Industries.
Regressed Prices |
| Timeline |
Pair Trading with ITTEFAQ Iron
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 ITTEFAQ Iron 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 ITTEFAQ Iron will appreciate offsetting losses from the drop in the long position's value.Moving together with ITTEFAQ Stock
Moving against ITTEFAQ Stock
The ability to find closely correlated positions to ITTEFAQ Iron could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ITTEFAQ Iron 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 ITTEFAQ Iron - 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 ITTEFAQ Iron Industries to buy it.
The correlation of ITTEFAQ Iron 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 ITTEFAQ Iron moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ITTEFAQ Iron 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 ITTEFAQ Iron 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.Additional Tools for ITTEFAQ Stock Analysis
When running ITTEFAQ Iron's price analysis, check to measure ITTEFAQ Iron's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy ITTEFAQ Iron is operating at the current time. Most of ITTEFAQ Iron's value examination focuses on studying past and present price action to predict the probability of ITTEFAQ Iron's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ITTEFAQ Iron's price. Additionally, you may evaluate how the addition of ITTEFAQ Iron to your portfolios can decrease your overall portfolio volatility.