Vietnam Dairy (Vietnam) Market Value
| VNM Stock | 64,300 400.00 0.63% |
| Symbol | Vietnam |
Vietnam Dairy '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 Vietnam Dairy'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 Vietnam Dairy.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Vietnam Dairy on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Vietnam Dairy Products or generate 0.0% return on investment in Vietnam Dairy over 30 days. Vietnam Dairy is related to or competes with Ha Long, Development Investment, MST Investment, Tien Giang, Viettel Construction, and Elcom Technology. More
Vietnam Dairy 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 Vietnam Dairy'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 Vietnam Dairy Products upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.36) | |||
| Maximum Drawdown | 4.65 | |||
| Value At Risk | (2.04) | |||
| Potential Upside | 1.58 |
Vietnam Dairy Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vietnam Dairy's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vietnam Dairy's standard deviation. In reality, there are many statistical measures that can use Vietnam Dairy historical prices to predict the future Vietnam Dairy's volatility.| Risk Adjusted Performance | (0.17) | |||
| Jensen Alpha | (0.26) | |||
| Total Risk Alpha | (0.37) | |||
| Treynor Ratio | (0.81) |
Vietnam Dairy Products Backtested Returns
Vietnam Dairy Products owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.21, which indicates the firm had a -0.21% return per unit of risk over the last 3 months. Vietnam Dairy Products exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vietnam Dairy's Variance of 0.9214, coefficient of variation of (447.30), and Risk Adjusted Performance of (0.17) to confirm the risk estimate we provide. The entity has a beta of 0.28, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vietnam Dairy's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vietnam Dairy is expected to be smaller as well. At this point, Vietnam Dairy Products has a negative expected return of -0.2%. Please make sure to validate Vietnam Dairy's kurtosis, and the relationship between the maximum drawdown and day median price , to decide if Vietnam Dairy Products performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.71 |
Good predictability
Vietnam Dairy Products has good predictability. Overlapping area represents the amount of predictability between Vietnam Dairy time series from 27th of October 2024 to 11th of November 2024 and 11th of November 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 Vietnam Dairy Products price movement. The serial correlation of 0.71 indicates that around 71.0% of current Vietnam Dairy price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.71 | |
| Spearman Rank Test | 0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 539 K |
Vietnam Dairy Products lagged returns against current returns
Autocorrelation, which is Vietnam Dairy 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 Vietnam Dairy's stock expected returns. We can calculate the autocorrelation of Vietnam Dairy returns to help us make a trade decision. For example, suppose you find that Vietnam Dairy 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 |
Vietnam Dairy 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 Vietnam Dairy stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vietnam Dairy stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vietnam Dairy stock over time.
Current vs Lagged Prices |
| Timeline |
Vietnam Dairy Lagged Returns
When evaluating Vietnam Dairy's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vietnam Dairy stock have on its future price. Vietnam Dairy 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, Vietnam Dairy autocorrelation shows the relationship between Vietnam Dairy stock current value and its past values and can show if there is a momentum factor associated with investing in Vietnam Dairy Products.
Regressed Prices |
| Timeline |
Pair Trading with Vietnam Dairy
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 Vietnam Dairy 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 Vietnam Dairy will appreciate offsetting losses from the drop in the long position's value.Moving together with Vietnam Stock
| 0.81 | ADS | Damsan JSC | PairCorr |
| 0.91 | AAA | An Phat Plastic | PairCorr |
| 0.94 | AME | Alphanam ME | PairCorr |
| 0.73 | APG | APG Securities Joint | PairCorr |
The ability to find closely correlated positions to Vietnam Dairy could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vietnam Dairy 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 Vietnam Dairy - 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 Vietnam Dairy Products to buy it.
The correlation of Vietnam Dairy 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 Vietnam Dairy moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vietnam Dairy Products 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 Vietnam Dairy 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.Other Information on Investing in Vietnam Stock
Vietnam Dairy financial ratios help investors to determine whether Vietnam Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Vietnam with respect to the benefits of owning Vietnam Dairy security.