JS Global (Pakistan) Market Value
| JSGBETF Stock | 21.15 0.65 3.17% |
| Symbol | JSGBETF |
JS Global '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 JS Global'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 JS Global.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in JS Global on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding JS Global Banking or generate 0.0% return on investment in JS Global over 510 days.
JS Global 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 JS Global'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 JS Global Banking upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.64 | |||
| Information Ratio | 0.0301 | |||
| Maximum Drawdown | 22.72 | |||
| Value At Risk | (1.77) | |||
| Potential Upside | 3.43 |
JS Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for JS Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as JS Global's standard deviation. In reality, there are many statistical measures that can use JS Global historical prices to predict the future JS Global's volatility.| Risk Adjusted Performance | 0.061 | |||
| Jensen Alpha | 0.2526 | |||
| Total Risk Alpha | (0.29) | |||
| Sortino Ratio | 0.0267 | |||
| Treynor Ratio | (0.70) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of JS Global's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
JS Global Banking Backtested Returns
JS Global appears to be not too volatile, given 3 months investment horizon. JS Global Banking retains Efficiency (Sharpe Ratio) of 0.15, which attests that the entity had a 0.15% return per unit of price deviation over the last 3 months. We have found twenty-nine technical indicators for JS Global, which you can use to evaluate the volatility of the firm. Please utilize JS Global's Semi Deviation of 3.05, standard deviation of 3.23, and Market Risk Adjusted Performance of (0.69) to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, JS Global holds a performance score of 12. The company owns a Beta (Systematic Risk) of -0.31, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning JS Global are expected to decrease at a much lower rate. During the bear market, JS Global is likely to outperform the market. Please check JS Global's treynor ratio, expected short fall, and the relationship between the jensen alpha and potential upside , to make a quick decision on whether JS Global's current price history will revert.
Auto-correlation | 0.62 |
Good predictability
JS Global Banking has good predictability. Overlapping area represents the amount of predictability between JS Global time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 JS Global Banking price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current JS Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.62 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 2.4 |
JS Global Banking lagged returns against current returns
Autocorrelation, which is JS Global 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 JS Global's stock expected returns. We can calculate the autocorrelation of JS Global returns to help us make a trade decision. For example, suppose you find that JS Global 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 |
JS Global 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 JS Global stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if JS Global stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in JS Global stock over time.
Current vs Lagged Prices |
| Timeline |
JS Global Lagged Returns
When evaluating JS Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of JS Global stock have on its future price. JS Global 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, JS Global autocorrelation shows the relationship between JS Global stock current value and its past values and can show if there is a momentum factor associated with investing in JS Global Banking.
Regressed Prices |
| Timeline |
Pair Trading with JS Global
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 JS Global 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 JS Global will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to JS Global could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace JS Global 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 JS Global - 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 JS Global Banking to buy it.
The correlation of JS Global 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 JS Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if JS Global Banking 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 JS Global 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.