Rafael Microelectronics (Taiwan) Market Value
| 6568 Stock | TWD 123.00 2.50 1.99% |
| Symbol | Rafael |
Rafael Microelectronics '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 Rafael Microelectronics' 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 Rafael Microelectronics.
| 11/19/2023 |
| 12/13/2024 |
If you would invest 0.00 in Rafael Microelectronics on November 19, 2023 and sell it all today you would earn a total of 0.00 from holding Rafael Microelectronics or generate 0.0% return on investment in Rafael Microelectronics over 390 days. Rafael Microelectronics is related to or competes with AU Optronics, Innolux Corp, Ruentex Development, WiseChip Semiconductor, Novatek Microelectronics, Leader Electronics, and Information Technology. More
Rafael Microelectronics 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 Rafael Microelectronics' 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 Rafael Microelectronics upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.84 | |||
| Information Ratio | 0.0016 | |||
| Maximum Drawdown | 8.96 | |||
| Value At Risk | (2.39) | |||
| Potential Upside | 3.2 |
Rafael Microelectronics Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Rafael Microelectronics' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Rafael Microelectronics' standard deviation. In reality, there are many statistical measures that can use Rafael Microelectronics historical prices to predict the future Rafael Microelectronics' volatility.| Risk Adjusted Performance | 0.0538 | |||
| Jensen Alpha | 0.0858 | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | 0.0015 | |||
| Treynor Ratio | 0.5644 |
Rafael Microelectronics Backtested Returns
At this stage we consider Rafael Stock to be very steady. Rafael Microelectronics maintains Sharpe Ratio (i.e., Efficiency) of 0.0309, which implies the firm had a 0.0309% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Rafael Microelectronics, which you can use to evaluate the volatility of the company. Please check Rafael Microelectronics' Semi Deviation of 1.44, coefficient of variation of 1514.8, and Risk Adjusted Performance of 0.0538 to confirm if the risk estimate we provide is consistent with the expected return of 0.0541%. Rafael Microelectronics has a performance score of 2 on a scale of 0 to 100. The company holds a Beta of 0.19, which implies not very significant fluctuations relative to the market. As returns on the market increase, Rafael Microelectronics' returns are expected to increase less than the market. However, during the bear market, the loss of holding Rafael Microelectronics is expected to be smaller as well. Rafael Microelectronics right now holds a risk of 1.75%. Please check Rafael Microelectronics semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to decide if Rafael Microelectronics will be following its historical price patterns.
Auto-correlation | 0.38 |
Below average predictability
Rafael Microelectronics has below average predictability. Overlapping area represents the amount of predictability between Rafael Microelectronics time series from 19th of November 2023 to 1st of June 2024 and 1st of June 2024 to 13th 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 Rafael Microelectronics price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Rafael Microelectronics price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 58.6 |
Rafael Microelectronics lagged returns against current returns
Autocorrelation, which is Rafael Microelectronics 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 Rafael Microelectronics' stock expected returns. We can calculate the autocorrelation of Rafael Microelectronics returns to help us make a trade decision. For example, suppose you find that Rafael Microelectronics 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 |
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Rafael Microelectronics 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 Rafael Microelectronics stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Rafael Microelectronics stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Rafael Microelectronics stock over time.
Current vs Lagged Prices |
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Rafael Microelectronics Lagged Returns
When evaluating Rafael Microelectronics' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Rafael Microelectronics stock have on its future price. Rafael Microelectronics 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, Rafael Microelectronics autocorrelation shows the relationship between Rafael Microelectronics stock current value and its past values and can show if there is a momentum factor associated with investing in Rafael Microelectronics.
Regressed Prices |
| Timeline |
Pair Trading with Rafael Microelectronics
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 Rafael Microelectronics 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 Rafael Microelectronics will appreciate offsetting losses from the drop in the long position's value.Moving against Rafael Stock
The ability to find closely correlated positions to Rafael Microelectronics could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Rafael Microelectronics 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 Rafael Microelectronics - 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 Rafael Microelectronics to buy it.
The correlation of Rafael Microelectronics 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 Rafael Microelectronics moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Rafael Microelectronics 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 Rafael Microelectronics 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.Additional Tools for Rafael Stock Analysis
When running Rafael Microelectronics' price analysis, check to measure Rafael Microelectronics' market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Rafael Microelectronics is operating at the current time. Most of Rafael Microelectronics' value examination focuses on studying past and present price action to predict the probability of Rafael Microelectronics' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Rafael Microelectronics' price. Additionally, you may evaluate how the addition of Rafael Microelectronics to your portfolios can decrease your overall portfolio volatility.