Van Phat (Vietnam) Market Value
| VPH Stock | 7,160 190.00 2.73% |
| Symbol | Van |
Van Phat '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 Van Phat'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 Van Phat.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Van Phat on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Van Phat Hung or generate 0.0% return on investment in Van Phat over 30 days.
Van Phat 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 Van Phat'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 Van Phat Hung upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 14.51 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 2.67 |
Van Phat Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Van Phat's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Van Phat's standard deviation. In reality, there are many statistical measures that can use Van Phat historical prices to predict the future Van Phat's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.56) | |||
| Treynor Ratio | (0.69) |
Van Phat Hung Backtested Returns
Van Phat Hung owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.14, which indicates the firm had a -0.14% return per unit of risk over the last 3 months. Van Phat Hung exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Van Phat's Risk Adjusted Performance of (0.09), coefficient of variation of (834.60), and Variance of 4.0 to confirm the risk estimate we provide. The entity has a beta of 0.36, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Van Phat's returns are expected to increase less than the market. However, during the bear market, the loss of holding Van Phat is expected to be smaller as well. At this point, Van Phat Hung has a negative expected return of -0.29%. Please make sure to validate Van Phat's skewness, as well as the relationship between the rate of daily change and price action indicator , to decide if Van Phat Hung performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.07 |
Virtually no predictability
Van Phat Hung has virtually no predictability. Overlapping area represents the amount of predictability between Van Phat time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Van Phat Hung price movement. The serial correlation of 0.07 indicates that barely 7.0% of current Van Phat price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.07 | |
| Spearman Rank Test | 0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 14.8 K |
Van Phat Hung lagged returns against current returns
Autocorrelation, which is Van Phat 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 Van Phat's stock expected returns. We can calculate the autocorrelation of Van Phat returns to help us make a trade decision. For example, suppose you find that Van Phat 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 |
Van Phat 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 Van Phat stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Van Phat stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Van Phat stock over time.
Current vs Lagged Prices |
| Timeline |
Van Phat Lagged Returns
When evaluating Van Phat's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Van Phat stock have on its future price. Van Phat 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, Van Phat autocorrelation shows the relationship between Van Phat stock current value and its past values and can show if there is a momentum factor associated with investing in Van Phat Hung.
Regressed Prices |
| Timeline |
Pair Trading with Van Phat
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 Van Phat 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 Van Phat will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Van Phat could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Van Phat 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 Van Phat - 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 Van Phat Hung to buy it.
The correlation of Van Phat 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 Van Phat moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Van Phat Hung 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 Van Phat 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.