Alfalah Consumer (Pakistan) Market Value
| ACIETF Stock | 14.89 0.30 2.06% |
| Symbol | Alfalah |
Alfalah Consumer '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 Alfalah Consumer'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 Alfalah Consumer.
| 10/27/2024 |
| 12/26/2024 |
If you would invest 0.00 in Alfalah Consumer on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Alfalah Consumer or generate 0.0% return on investment in Alfalah Consumer over 60 days.
Alfalah Consumer 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 Alfalah Consumer'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 Alfalah Consumer upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.58 | |||
| Information Ratio | 0.1959 | |||
| Maximum Drawdown | 15.41 | |||
| Value At Risk | (3.68) | |||
| Potential Upside | 4.46 |
Alfalah Consumer Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alfalah Consumer's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alfalah Consumer's standard deviation. In reality, there are many statistical measures that can use Alfalah Consumer historical prices to predict the future Alfalah Consumer's volatility.| Risk Adjusted Performance | 0.1774 | |||
| Jensen Alpha | 0.533 | |||
| Total Risk Alpha | 0.4268 | |||
| Sortino Ratio | 0.1949 | |||
| Treynor Ratio | 3.4 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Alfalah Consumer's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Alfalah Consumer Backtested Returns
Alfalah Consumer appears to be not too volatile, given 3 months investment horizon. Alfalah Consumer secures Sharpe Ratio (or Efficiency) of 0.31, which signifies that the company had a 0.31% return per unit of standard deviation over the last 3 months. By analyzing Alfalah Consumer's technical indicators, you can evaluate if the expected return of 0.82% is justified by implied risk. Please makes use of Alfalah Consumer's mean deviation of 1.8, and Risk Adjusted Performance of 0.1774 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Alfalah Consumer holds a performance score of 24. The firm shows a Beta (market volatility) of 0.16, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Alfalah Consumer's returns are expected to increase less than the market. However, during the bear market, the loss of holding Alfalah Consumer is expected to be smaller as well. Please check Alfalah Consumer's maximum drawdown, and the relationship between the information ratio and expected short fall , to make a quick decision on whether Alfalah Consumer's price patterns will revert.
Auto-correlation | 0.86 |
Very good predictability
Alfalah Consumer has very good predictability. Overlapping area represents the amount of predictability between Alfalah Consumer time series from 27th of October 2024 to 26th of November 2024 and 26th of November 2024 to 26th 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 Alfalah Consumer price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current Alfalah Consumer price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 1.1 |
Alfalah Consumer lagged returns against current returns
Autocorrelation, which is Alfalah Consumer 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 Alfalah Consumer's stock expected returns. We can calculate the autocorrelation of Alfalah Consumer returns to help us make a trade decision. For example, suppose you find that Alfalah Consumer 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 |
Alfalah Consumer 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 Alfalah Consumer stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alfalah Consumer stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alfalah Consumer stock over time.
Current vs Lagged Prices |
| Timeline |
Alfalah Consumer Lagged Returns
When evaluating Alfalah Consumer's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alfalah Consumer stock have on its future price. Alfalah Consumer 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, Alfalah Consumer autocorrelation shows the relationship between Alfalah Consumer stock current value and its past values and can show if there is a momentum factor associated with investing in Alfalah Consumer.
Regressed Prices |
| Timeline |
Pair Trading with Alfalah Consumer
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 Alfalah Consumer 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 Alfalah Consumer will appreciate offsetting losses from the drop in the long position's value.Moving together with Alfalah Stock
| 0.92 | MTL | Millat Tractors | PairCorr |
| 0.96 | KAPCO | KOT Addu Power | PairCorr |
| 0.94 | LOADS | Loads | PairCorr |
| 0.86 | AKBL | Askari Bank | PairCorr |
The ability to find closely correlated positions to Alfalah Consumer could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Alfalah Consumer 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 Alfalah Consumer - 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 Alfalah Consumer to buy it.
The correlation of Alfalah Consumer 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 Alfalah Consumer moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Alfalah Consumer 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 Alfalah Consumer 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.