CMC Corp (Vietnam) Market Value
| CMG Stock | 55,000 800.00 1.43% |
| Symbol | CMC |
CMC Corp '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 CMC Corp'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 CMC Corp.
| 01/05/2023 |
| 12/25/2024 |
If you would invest 0.00 in CMC Corp on January 5, 2023 and sell it all today you would earn a total of 0.00 from holding CMC Corp or generate 0.0% return on investment in CMC Corp over 720 days.
CMC Corp 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 CMC Corp'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 CMC Corp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.08 | |||
| Information Ratio | 0.0319 | |||
| Maximum Drawdown | 13.82 | |||
| Value At Risk | (3.06) | |||
| Potential Upside | 3.55 |
CMC Corp Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CMC Corp's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CMC Corp's standard deviation. In reality, there are many statistical measures that can use CMC Corp historical prices to predict the future CMC Corp's volatility.| Risk Adjusted Performance | 0.0484 | |||
| Jensen Alpha | 0.0781 | |||
| Total Risk Alpha | 0.0098 | |||
| Sortino Ratio | 0.0333 | |||
| Treynor Ratio | 0.1401 |
CMC Corp Backtested Returns
As of now, CMC Stock is very steady. CMC Corp retains Efficiency (Sharpe Ratio) of 0.0576, which signifies that the company had a 0.0576% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for CMC Corp, which you can use to evaluate the volatility of the firm. Please confirm CMC Corp's market risk adjusted performance of 0.1501, and Coefficient Of Variation of 1900.7 to double-check if the risk estimate we provide is consistent with the expected return of 0.13%. CMC Corp has a performance score of 4 on a scale of 0 to 100. The firm owns a Beta (Systematic Risk) of 0.74, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, CMC Corp's returns are expected to increase less than the market. However, during the bear market, the loss of holding CMC Corp is expected to be smaller as well. CMC Corp at this time owns a risk of 2.2%. Please confirm CMC Corp potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to decide if CMC Corp will be following its current price history.
Auto-correlation | 0.39 |
Below average predictability
CMC Corp has below average predictability. Overlapping area represents the amount of predictability between CMC Corp time series from 5th of January 2023 to 31st of December 2023 and 31st of December 2023 to 25th 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 CMC Corp price movement. The serial correlation of 0.39 indicates that just about 39.0% of current CMC Corp price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 72.2 M |
CMC Corp lagged returns against current returns
Autocorrelation, which is CMC Corp 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 CMC Corp's stock expected returns. We can calculate the autocorrelation of CMC Corp returns to help us make a trade decision. For example, suppose you find that CMC Corp 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 |
CMC Corp 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 CMC Corp stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CMC Corp stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CMC Corp stock over time.
Current vs Lagged Prices |
| Timeline |
CMC Corp Lagged Returns
When evaluating CMC Corp's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CMC Corp stock have on its future price. CMC Corp 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, CMC Corp autocorrelation shows the relationship between CMC Corp stock current value and its past values and can show if there is a momentum factor associated with investing in CMC Corp.
Regressed Prices |
| Timeline |
Pair Trading with CMC Corp
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 CMC Corp 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 CMC Corp will appreciate offsetting losses from the drop in the long position's value.Moving together with CMC Stock
The ability to find closely correlated positions to CMC Corp could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CMC Corp 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 CMC Corp - 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 CMC Corp to buy it.
The correlation of CMC Corp 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 CMC Corp moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CMC Corp 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 CMC Corp 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.