Pakistan International (Pakistan) Market Value
| PIBTL Stock | 8.07 0.05 0.62% |
| Symbol | Pakistan |
Pakistan International '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 Pakistan International'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 Pakistan International.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Pakistan International on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Pakistan International Bulk or generate 0.0% return on investment in Pakistan International over 30 days.
Pakistan International 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 Pakistan International'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 Pakistan International Bulk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.43 | |||
| Information Ratio | 0.1168 | |||
| Maximum Drawdown | 22.76 | |||
| Value At Risk | (4.40) | |||
| Potential Upside | 7.1 |
Pakistan International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pakistan International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pakistan International's standard deviation. In reality, there are many statistical measures that can use Pakistan International historical prices to predict the future Pakistan International's volatility.| Risk Adjusted Performance | 0.1147 | |||
| Jensen Alpha | 0.5141 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.1386 | |||
| Treynor Ratio | 0.8956 |
Pakistan International Backtested Returns
Pakistan International appears to be slightly risky, given 3 months investment horizon. Pakistan International maintains Sharpe Ratio (i.e., Efficiency) of 0.13, which implies the firm had a 0.13% return per unit of risk over the last 3 months. By analyzing Pakistan International's technical indicators, you can evaluate if the expected return of 0.54% is justified by implied risk. Please evaluate Pakistan International's Semi Deviation of 2.97, coefficient of variation of 678.5, and Risk Adjusted Performance of 0.1147 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Pakistan International holds a performance score of 10. The company holds a Beta of 0.66, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Pakistan International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pakistan International is expected to be smaller as well. Please check Pakistan International's semi variance, and the relationship between the treynor ratio and daily balance of power , to make a quick decision on whether Pakistan International's historical price patterns will revert.
Auto-correlation | -0.71 |
Almost perfect reverse predictability
Pakistan International Bulk has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Pakistan International time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 Pakistan International price movement. The serial correlation of -0.71 indicates that around 71.0% of current Pakistan International price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.71 | |
| Spearman Rank Test | -0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 0.21 |
Pakistan International lagged returns against current returns
Autocorrelation, which is Pakistan International 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 Pakistan International's stock expected returns. We can calculate the autocorrelation of Pakistan International returns to help us make a trade decision. For example, suppose you find that Pakistan International 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 |
Pakistan International 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 Pakistan International stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pakistan International stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pakistan International stock over time.
Current vs Lagged Prices |
| Timeline |
Pakistan International Lagged Returns
When evaluating Pakistan International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pakistan International stock have on its future price. Pakistan International 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, Pakistan International autocorrelation shows the relationship between Pakistan International stock current value and its past values and can show if there is a momentum factor associated with investing in Pakistan International Bulk.
Regressed Prices |
| Timeline |
Pair Trading with Pakistan International
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 Pakistan International 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 Pakistan International will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Pakistan International could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Pakistan International 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 Pakistan International - 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 Pakistan International Bulk to buy it.
The correlation of Pakistan International 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 Pakistan International moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pakistan International 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 Pakistan International 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.