VGS (Vietnam) Market Value
| VGS Stock | 31,600 600.00 1.86% |
| Symbol | VGS |
VGS '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 VGS'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 VGS.
| 01/07/2023 |
| 12/27/2024 |
If you would invest 0.00 in VGS on January 7, 2023 and sell it all today you would earn a total of 0.00 from holding VGS or generate 0.0% return on investment in VGS over 720 days.
VGS 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 VGS'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 VGS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 10.25 | |||
| Value At Risk | (3.14) | |||
| Potential Upside | 2.57 |
VGS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VGS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VGS's standard deviation. In reality, there are many statistical measures that can use VGS historical prices to predict the future VGS's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.23) | |||
| Total Risk Alpha | (0.31) | |||
| Treynor Ratio | (0.56) |
VGS Backtested Returns
VGS owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.18, which indicates the firm had a -0.18% return per unit of standard deviation over the last 3 months. VGS exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate VGS's variance of 3.36, and Risk Adjusted Performance of (0.08) to confirm the risk estimate we provide. The entity has a beta of 0.38, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, VGS's returns are expected to increase less than the market. However, during the bear market, the loss of holding VGS is expected to be smaller as well. At this point, VGS has a negative expected return of -0.32%. Please make sure to validate VGS's value at risk, accumulation distribution, as well as the relationship between the Accumulation Distribution and day typical price , to decide if VGS performance from the past will be repeated at some future point.
Auto-correlation | 0.72 |
Good predictability
VGS has good predictability. Overlapping area represents the amount of predictability between VGS time series from 7th of January 2023 to 2nd of January 2024 and 2nd of January 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 VGS price movement. The serial correlation of 0.72 indicates that around 72.0% of current VGS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 34.1 M |
VGS lagged returns against current returns
Autocorrelation, which is VGS 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 VGS's stock expected returns. We can calculate the autocorrelation of VGS returns to help us make a trade decision. For example, suppose you find that VGS 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 |
VGS 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 VGS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VGS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VGS stock over time.
Current vs Lagged Prices |
| Timeline |
VGS Lagged Returns
When evaluating VGS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VGS stock have on its future price. VGS 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, VGS autocorrelation shows the relationship between VGS stock current value and its past values and can show if there is a momentum factor associated with investing in VGS.
Regressed Prices |
| Timeline |
Pair Trading with VGS
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 VGS 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 VGS will appreciate offsetting losses from the drop in the long position's value.Moving against VGS Stock
| 0.75 | BCF | Bich Chi Food | PairCorr |
| 0.73 | ICT | Telecoms Informatics JSC | PairCorr |
| 0.63 | ELC | Elcom Technology Com | PairCorr |
| 0.55 | SMA | Saigon Machinery Spare | PairCorr |
| 0.53 | FPT | FPT Corp | PairCorr |
The ability to find closely correlated positions to VGS could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace VGS 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 VGS - 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 VGS to buy it.
The correlation of VGS 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 VGS moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if VGS 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 VGS 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.