VINACONEX MEC (Vietnam) Market Value
| VCM Stock | 8,300 400.00 4.60% |
| Symbol | VINACONEX |
VINACONEX MEC '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 VINACONEX MEC'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 VINACONEX MEC.
| 11/27/2024 |
| 12/27/2024 |
If you would invest 0.00 in VINACONEX MEC on November 27, 2024 and sell it all today you would earn a total of 0.00 from holding VINACONEX MEC or generate 0.0% return on investment in VINACONEX MEC over 30 days.
VINACONEX MEC 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 VINACONEX MEC'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 VINACONEX MEC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 7.14 | |||
| Information Ratio | 0.0188 | |||
| Maximum Drawdown | 20.0 | |||
| Value At Risk | (10.00) | |||
| Potential Upside | 9.87 |
VINACONEX MEC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VINACONEX MEC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VINACONEX MEC's standard deviation. In reality, there are many statistical measures that can use VINACONEX MEC historical prices to predict the future VINACONEX MEC's volatility.| Risk Adjusted Performance | 0.0299 | |||
| Jensen Alpha | 0.1821 | |||
| Total Risk Alpha | (0.20) | |||
| Sortino Ratio | 0.0184 | |||
| Treynor Ratio | (0.96) |
VINACONEX MEC Backtested Returns
VINACONEX MEC appears to be very steady, given 3 months investment horizon. VINACONEX MEC owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0579, which indicates the firm had a 0.0579% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for VINACONEX MEC, which you can use to evaluate the volatility of the company. Please review VINACONEX MEC's risk adjusted performance of 0.0299, and Coefficient Of Variation of 3773.19 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, VINACONEX MEC holds a performance score of 4. The entity has a beta of -0.18, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning VINACONEX MEC are expected to decrease at a much lower rate. During the bear market, VINACONEX MEC is likely to outperform the market. Please check VINACONEX MEC's semi variance, and the relationship between the maximum drawdown and daily balance of power , to make a quick decision on whether VINACONEX MEC's existing price patterns will revert.
Auto-correlation | 0.24 |
Weak predictability
VINACONEX MEC has weak predictability. Overlapping area represents the amount of predictability between VINACONEX MEC time series from 27th of November 2024 to 12th of December 2024 and 12th of December 2024 to 27th 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 VINACONEX MEC price movement. The serial correlation of 0.24 indicates that over 24.0% of current VINACONEX MEC price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | -0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 113.6 K |
VINACONEX MEC lagged returns against current returns
Autocorrelation, which is VINACONEX MEC 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 VINACONEX MEC's stock expected returns. We can calculate the autocorrelation of VINACONEX MEC returns to help us make a trade decision. For example, suppose you find that VINACONEX MEC 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 |
VINACONEX MEC 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 VINACONEX MEC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VINACONEX MEC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VINACONEX MEC stock over time.
Current vs Lagged Prices |
| Timeline |
VINACONEX MEC Lagged Returns
When evaluating VINACONEX MEC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VINACONEX MEC stock have on its future price. VINACONEX MEC 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, VINACONEX MEC autocorrelation shows the relationship between VINACONEX MEC stock current value and its past values and can show if there is a momentum factor associated with investing in VINACONEX MEC.
Regressed Prices |
| Timeline |
Pair Trading with VINACONEX MEC
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 VINACONEX MEC 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 VINACONEX MEC will appreciate offsetting losses from the drop in the long position's value.Moving against VINACONEX Stock
The ability to find closely correlated positions to VINACONEX MEC could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace VINACONEX MEC 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 VINACONEX MEC - 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 VINACONEX MEC to buy it.
The correlation of VINACONEX MEC 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 VINACONEX MEC moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if VINACONEX MEC 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 VINACONEX MEC 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.