AgriBank Securities (Vietnam) Market Value
| AGR Stock | 17,050 50.00 0.29% |
| Symbol | AgriBank |
AgriBank Securities '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 AgriBank Securities' 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 AgriBank Securities.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in AgriBank Securities on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding AgriBank Securities JSC or generate 0.0% return on investment in AgriBank Securities over 30 days. AgriBank Securities is related to or competes with FIT INVEST, Damsan JSC, An Phat, Alphanam, Binhthuan Agriculture, Mekong Fisheries, and Bentre Aquaproduct. More
AgriBank Securities 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 AgriBank Securities' 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 AgriBank Securities JSC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 8.75 | |||
| Value At Risk | (2.42) | |||
| Potential Upside | 3.12 |
AgriBank Securities Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AgriBank Securities' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AgriBank Securities' standard deviation. In reality, there are many statistical measures that can use AgriBank Securities historical prices to predict the future AgriBank Securities' volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.30) | |||
| Treynor Ratio | (0.20) |
AgriBank Securities JSC Backtested Returns
AgriBank Securities JSC secures Sharpe Ratio (or Efficiency) of -0.0137, which signifies that the company had a -0.0137% return per unit of risk over the last 3 months. AgriBank Securities JSC exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AgriBank Securities' Risk Adjusted Performance of (0.01), mean deviation of 1.18, and Standard Deviation of 1.66 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.27, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AgriBank Securities' returns are expected to increase less than the market. However, during the bear market, the loss of holding AgriBank Securities is expected to be smaller as well. At this point, AgriBank Securities JSC has a negative expected return of -0.0226%. Please make sure to confirm AgriBank Securities' potential upside, as well as the relationship between the daily balance of power and market facilitation index , to decide if AgriBank Securities JSC performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.32 |
Poor reverse predictability
AgriBank Securities JSC has poor reverse predictability. Overlapping area represents the amount of predictability between AgriBank Securities time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd 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 AgriBank Securities JSC price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current AgriBank Securities price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.32 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 33.8 K |
AgriBank Securities JSC lagged returns against current returns
Autocorrelation, which is AgriBank Securities 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 AgriBank Securities' stock expected returns. We can calculate the autocorrelation of AgriBank Securities returns to help us make a trade decision. For example, suppose you find that AgriBank Securities 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 |
AgriBank Securities 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 AgriBank Securities stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AgriBank Securities stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AgriBank Securities stock over time.
Current vs Lagged Prices |
| Timeline |
AgriBank Securities Lagged Returns
When evaluating AgriBank Securities' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AgriBank Securities stock have on its future price. AgriBank Securities 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, AgriBank Securities autocorrelation shows the relationship between AgriBank Securities stock current value and its past values and can show if there is a momentum factor associated with investing in AgriBank Securities JSC.
Regressed Prices |
| Timeline |
Pair Trading with AgriBank Securities
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 AgriBank Securities 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 AgriBank Securities will appreciate offsetting losses from the drop in the long position's value.Moving together with AgriBank Stock
The ability to find closely correlated positions to AgriBank Securities could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AgriBank Securities 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 AgriBank Securities - 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 AgriBank Securities JSC to buy it.
The correlation of AgriBank Securities 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 AgriBank Securities moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AgriBank Securities 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 AgriBank Securities 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 AgriBank Stock
AgriBank Securities financial ratios help investors to determine whether AgriBank 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 AgriBank with respect to the benefits of owning AgriBank Securities security.