Macauto Industrial (Taiwan) Market Value
| 9951 Stock | TWD 53.40 0.20 0.38% |
| Symbol | Macauto |
Macauto Industrial '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 Macauto Industrial'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 Macauto Industrial.
| 11/26/2023 |
| 12/20/2024 |
If you would invest 0.00 in Macauto Industrial on November 26, 2023 and sell it all today you would earn a total of 0.00 from holding Macauto Industrial Co or generate 0.0% return on investment in Macauto Industrial over 390 days. Macauto Industrial is related to or competes with E Lead, Jentech Precision, Turvo International, Ruentex Development, Symtek Automation, WiseChip Semiconductor, and Novatek Microelectronics. Macauto Industrial Co., Ltd. engages in the manufacture and sale of automotive sunshade products More
Macauto Industrial 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 Macauto Industrial'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 Macauto Industrial Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.34) | |||
| Maximum Drawdown | 6.89 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 0.7788 |
Macauto Industrial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Macauto Industrial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Macauto Industrial's standard deviation. In reality, there are many statistical measures that can use Macauto Industrial historical prices to predict the future Macauto Industrial's volatility.| Risk Adjusted Performance | (0.24) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.31) | |||
| Treynor Ratio | (1.49) |
Macauto Industrial Backtested Returns
Macauto Industrial has Sharpe Ratio of -0.34, which conveys that the firm had a -0.34% return per unit of risk over the last 3 months. Macauto Industrial exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Macauto Industrial's Mean Deviation of 0.5601, risk adjusted performance of (0.24), and Standard Deviation of 0.9105 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.19, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Macauto Industrial's returns are expected to increase less than the market. However, during the bear market, the loss of holding Macauto Industrial is expected to be smaller as well. At this point, Macauto Industrial has a negative expected return of -0.31%. Please make sure to verify Macauto Industrial's market risk adjusted performance, coefficient of variation, information ratio, as well as the relationship between the mean deviation and standard deviation , to decide if Macauto Industrial performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.74 |
Good predictability
Macauto Industrial Co has good predictability. Overlapping area represents the amount of predictability between Macauto Industrial time series from 26th of November 2023 to 8th of June 2024 and 8th of June 2024 to 20th 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 Macauto Industrial price movement. The serial correlation of 0.74 indicates that around 74.0% of current Macauto Industrial price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 17.1 |
Macauto Industrial lagged returns against current returns
Autocorrelation, which is Macauto Industrial 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 Macauto Industrial's stock expected returns. We can calculate the autocorrelation of Macauto Industrial returns to help us make a trade decision. For example, suppose you find that Macauto Industrial 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 |
Macauto Industrial 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 Macauto Industrial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macauto Industrial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macauto Industrial stock over time.
Current vs Lagged Prices |
| Timeline |
Macauto Industrial Lagged Returns
When evaluating Macauto Industrial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Macauto Industrial stock have on its future price. Macauto Industrial 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, Macauto Industrial autocorrelation shows the relationship between Macauto Industrial stock current value and its past values and can show if there is a momentum factor associated with investing in Macauto Industrial Co.
Regressed Prices |
| Timeline |
Pair Trading with Macauto Industrial
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 Macauto Industrial 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 Macauto Industrial will appreciate offsetting losses from the drop in the long position's value.Moving together with Macauto Stock
Moving against Macauto Stock
| 0.91 | 2891 | CTBC Financial Holding | PairCorr |
| 0.86 | 2881A | Fubon Financial Holding | PairCorr |
| 0.8 | 2454 | MediaTek | PairCorr |
| 0.78 | 2882B | Cathay Financial Holding | PairCorr |
| 0.71 | 2603 | Evergreen Marine Corp | PairCorr |
The ability to find closely correlated positions to Macauto Industrial could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Macauto Industrial 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 Macauto Industrial - 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 Macauto Industrial Co to buy it.
The correlation of Macauto Industrial 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 Macauto Industrial moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Macauto Industrial 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 Macauto Industrial 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 Macauto Stock Analysis
When running Macauto Industrial's price analysis, check to measure Macauto Industrial's 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 Macauto Industrial is operating at the current time. Most of Macauto Industrial's value examination focuses on studying past and present price action to predict the probability of Macauto Industrial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Macauto Industrial's price. Additionally, you may evaluate how the addition of Macauto Industrial to your portfolios can decrease your overall portfolio volatility.