Transimex Transportation (Vietnam) Market Value
| TOT Stock | 17,200 200.00 1.18% |
| Symbol | Transimex |
Transimex Transportation '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 Transimex Transportation'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 Transimex Transportation.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Transimex Transportation on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Transimex Transportation JSC or generate 0.0% return on investment in Transimex Transportation over 30 days.
Transimex Transportation 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 Transimex Transportation'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 Transimex Transportation JSC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 18.05 | |||
| Value At Risk | (3.85) | |||
| Potential Upside | 2.78 |
Transimex Transportation Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Transimex Transportation's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Transimex Transportation's standard deviation. In reality, there are many statistical measures that can use Transimex Transportation historical prices to predict the future Transimex Transportation's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.16) | |||
| Total Risk Alpha | (0.56) | |||
| Treynor Ratio | (2.68) |
Transimex Transportation Backtested Returns
Transimex Transportation owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0435, which indicates the firm had a -0.0435% return per unit of risk over the last 3 months. Transimex Transportation JSC exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Transimex Transportation's Risk Adjusted Performance of (0.03), variance of 7.1, and Coefficient Of Variation of (1,918) to confirm the risk estimate we provide. The entity has a beta of 0.0555, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Transimex Transportation's returns are expected to increase less than the market. However, during the bear market, the loss of holding Transimex Transportation is expected to be smaller as well. At this point, Transimex Transportation has a negative expected return of -0.12%. Please make sure to validate Transimex Transportation's treynor ratio, as well as the relationship between the kurtosis and day typical price , to decide if Transimex Transportation performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.04 |
Virtually no predictability
Transimex Transportation JSC has virtually no predictability. Overlapping area represents the amount of predictability between Transimex Transportation time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Transimex Transportation price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current Transimex Transportation price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | -0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 40 K |
Transimex Transportation lagged returns against current returns
Autocorrelation, which is Transimex Transportation 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 Transimex Transportation's stock expected returns. We can calculate the autocorrelation of Transimex Transportation returns to help us make a trade decision. For example, suppose you find that Transimex Transportation 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 |
Transimex Transportation 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 Transimex Transportation stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Transimex Transportation stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Transimex Transportation stock over time.
Current vs Lagged Prices |
| Timeline |
Transimex Transportation Lagged Returns
When evaluating Transimex Transportation's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Transimex Transportation stock have on its future price. Transimex Transportation 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, Transimex Transportation autocorrelation shows the relationship between Transimex Transportation stock current value and its past values and can show if there is a momentum factor associated with investing in Transimex Transportation JSC.
Regressed Prices |
| Timeline |
Pair Trading with Transimex Transportation
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 Transimex Transportation 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 Transimex Transportation will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Transimex Transportation could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Transimex Transportation 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 Transimex Transportation - 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 Transimex Transportation JSC to buy it.
The correlation of Transimex Transportation 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 Transimex Transportation moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Transimex Transportation 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 Transimex Transportation 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.