TRANGCORP JSC (Vietnam) Market Value
| TFC Stock | 68,400 1,800 2.70% |
| Symbol | TRANGCORP |
TRANGCORP JSC '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 TRANGCORP JSC'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 TRANGCORP JSC.
| 03/09/2023 |
| 02/26/2025 |
If you would invest 0.00 in TRANGCORP JSC on March 9, 2023 and sell it all today you would earn a total of 0.00 from holding TRANGCORP JSC or generate 0.0% return on investment in TRANGCORP JSC over 720 days.
TRANGCORP JSC 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 TRANGCORP JSC'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 TRANGCORP JSC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.15 | |||
| Information Ratio | 0.2026 | |||
| Maximum Drawdown | 19.9 | |||
| Value At Risk | (4.29) | |||
| Potential Upside | 9.85 |
TRANGCORP JSC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TRANGCORP JSC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TRANGCORP JSC's standard deviation. In reality, there are many statistical measures that can use TRANGCORP JSC historical prices to predict the future TRANGCORP JSC's volatility.| Risk Adjusted Performance | 0.1598 | |||
| Jensen Alpha | 0.8042 | |||
| Total Risk Alpha | 0.7804 | |||
| Sortino Ratio | 0.255 | |||
| Treynor Ratio | 1.38 |
TRANGCORP JSC Backtested Returns
TRANGCORP JSC appears to be very steady, given 3 months investment horizon. TRANGCORP JSC retains Efficiency (Sharpe Ratio) of 0.22, which indicates the firm had a 0.22 % return per unit of risk over the last 3 months. By inspecting TRANGCORP JSC's technical indicators, you can evaluate if the expected return of 0.85% is justified by implied risk. Please review TRANGCORP JSC's risk adjusted performance of 0.1598, and Downside Deviation of 3.15 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, TRANGCORP JSC holds a performance score of 16. The entity owns a Beta (Systematic Risk) of 0.58, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, TRANGCORP JSC's returns are expected to increase less than the market. However, during the bear market, the loss of holding TRANGCORP JSC is expected to be smaller as well. Please check TRANGCORP JSC's downside variance, day median price, and the relationship between the treynor ratio and kurtosis , to make a quick decision on whether TRANGCORP JSC's current price history will revert.
Auto-correlation | 0.77 |
Good predictability
TRANGCORP JSC has good predictability. Overlapping area represents the amount of predictability between TRANGCORP JSC time series from 9th of March 2023 to 3rd of March 2024 and 3rd of March 2024 to 26th of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of TRANGCORP JSC price movement. The serial correlation of 0.77 indicates that around 77.0% of current TRANGCORP JSC price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 39.9 M |
TRANGCORP JSC lagged returns against current returns
Autocorrelation, which is TRANGCORP JSC 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 TRANGCORP JSC's stock expected returns. We can calculate the autocorrelation of TRANGCORP JSC returns to help us make a trade decision. For example, suppose you find that TRANGCORP JSC 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 |
TRANGCORP JSC 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 TRANGCORP JSC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TRANGCORP JSC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TRANGCORP JSC stock over time.
Current vs Lagged Prices |
| Timeline |
TRANGCORP JSC Lagged Returns
When evaluating TRANGCORP JSC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TRANGCORP JSC stock have on its future price. TRANGCORP JSC 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, TRANGCORP JSC autocorrelation shows the relationship between TRANGCORP JSC stock current value and its past values and can show if there is a momentum factor associated with investing in TRANGCORP JSC.
Regressed Prices |
| Timeline |
Pair Trading with TRANGCORP JSC
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 TRANGCORP JSC 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 TRANGCORP JSC will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to TRANGCORP JSC could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace TRANGCORP JSC 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 TRANGCORP JSC - 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 TRANGCORP JSC to buy it.
The correlation of TRANGCORP JSC 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 TRANGCORP JSC moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if TRANGCORP 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 TRANGCORP JSC 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.