Plastic Additives (Vietnam) Market Value
| PGN Stock | 9,800 1,000.00 9.26% |
| Symbol | Plastic |
Plastic Additives '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 Plastic Additives' 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 Plastic Additives.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Plastic Additives on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Plastic Additives JSC or generate 0.0% return on investment in Plastic Additives over 30 days.
Plastic Additives 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 Plastic Additives' 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 Plastic Additives JSC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.27 | |||
| Information Ratio | 0.1404 | |||
| Maximum Drawdown | 19.32 | |||
| Value At Risk | (7.50) | |||
| Potential Upside | 9.59 |
Plastic Additives Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Plastic Additives' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Plastic Additives' standard deviation. In reality, there are many statistical measures that can use Plastic Additives historical prices to predict the future Plastic Additives' volatility.| Risk Adjusted Performance | 0.1367 | |||
| Jensen Alpha | 0.8052 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.1342 | |||
| Treynor Ratio | 3.62 |
Plastic Additives JSC Backtested Returns
Plastic Additives appears to be very steady, given 3 months investment horizon. Plastic Additives JSC maintains Sharpe Ratio (i.e., Efficiency) of 0.16, which implies the firm had a 0.16% return per unit of risk over the last 3 months. By analyzing Plastic Additives' technical indicators, you can evaluate if the expected return of 0.83% is justified by implied risk. Please evaluate Plastic Additives' Semi Deviation of 3.97, coefficient of variation of 596.18, and Risk Adjusted Performance of 0.1367 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Plastic Additives holds a performance score of 12. The company holds a Beta of 0.23, which implies not very significant fluctuations relative to the market. As returns on the market increase, Plastic Additives' returns are expected to increase less than the market. However, during the bear market, the loss of holding Plastic Additives is expected to be smaller as well. Please check Plastic Additives' potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to make a quick decision on whether Plastic Additives' historical price patterns will revert.
Auto-correlation | -0.37 |
Poor reverse predictability
Plastic Additives JSC has poor reverse predictability. Overlapping area represents the amount of predictability between Plastic Additives time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 Plastic Additives JSC price movement. The serial correlation of -0.37 indicates that just about 37.0% of current Plastic Additives price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.37 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 116.9 K |
Plastic Additives JSC lagged returns against current returns
Autocorrelation, which is Plastic Additives 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 Plastic Additives' stock expected returns. We can calculate the autocorrelation of Plastic Additives returns to help us make a trade decision. For example, suppose you find that Plastic Additives 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 |
Plastic Additives 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 Plastic Additives stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Plastic Additives stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Plastic Additives stock over time.
Current vs Lagged Prices |
| Timeline |
Plastic Additives Lagged Returns
When evaluating Plastic Additives' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Plastic Additives stock have on its future price. Plastic Additives 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, Plastic Additives autocorrelation shows the relationship between Plastic Additives stock current value and its past values and can show if there is a momentum factor associated with investing in Plastic Additives JSC.
Regressed Prices |
| Timeline |
Pair Trading with Plastic Additives
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 Plastic Additives 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 Plastic Additives will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Plastic Additives could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Plastic Additives 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 Plastic Additives - 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 Plastic Additives JSC to buy it.
The correlation of Plastic Additives 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 Plastic Additives moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Plastic Additives 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 Plastic Additives 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.