Agha Steel (Pakistan) Market Value
| AGHA Stock | 10.97 0.19 1.76% |
| Symbol | Agha |
Agha Steel '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 Agha Steel'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 Agha Steel.
| 12/24/2022 |
| 12/13/2024 |
If you would invest 0.00 in Agha Steel on December 24, 2022 and sell it all today you would earn a total of 0.00 from holding Agha Steel Industries or generate 0.0% return on investment in Agha Steel over 720 days.
Agha Steel 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 Agha Steel'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 Agha Steel Industries upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 16.52 | |||
| Value At Risk | (5.71) | |||
| Potential Upside | 5.1 |
Agha Steel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Agha Steel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Agha Steel's standard deviation. In reality, there are many statistical measures that can use Agha Steel historical prices to predict the future Agha Steel's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.78) | |||
| Treynor Ratio | 0.7902 |
Agha Steel Industries Backtested Returns
Agha Steel Industries secures Sharpe Ratio (or Efficiency) of -0.0781, which signifies that the company had a -0.0781% return per unit of standard deviation over the last 3 months. Agha Steel Industries exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Agha Steel's risk adjusted performance of (0.07), and Mean Deviation of 2.37 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.43, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Agha Steel are expected to decrease at a much lower rate. During the bear market, Agha Steel is likely to outperform the market. At this point, Agha Steel Industries has a negative expected return of -0.24%. Please make sure to confirm Agha Steel's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Agha Steel Industries performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.08 |
Virtually no predictability
Agha Steel Industries has virtually no predictability. Overlapping area represents the amount of predictability between Agha Steel time series from 24th of December 2022 to 19th of December 2023 and 19th of December 2023 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 Agha Steel Industries price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Agha Steel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | -0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 2.49 |
Agha Steel Industries lagged returns against current returns
Autocorrelation, which is Agha Steel 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 Agha Steel's stock expected returns. We can calculate the autocorrelation of Agha Steel returns to help us make a trade decision. For example, suppose you find that Agha Steel 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 |
Agha Steel 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 Agha Steel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Agha Steel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Agha Steel stock over time.
Current vs Lagged Prices |
| Timeline |
Agha Steel Lagged Returns
When evaluating Agha Steel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Agha Steel stock have on its future price. Agha Steel 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, Agha Steel autocorrelation shows the relationship between Agha Steel stock current value and its past values and can show if there is a momentum factor associated with investing in Agha Steel Industries.
Regressed Prices |
| Timeline |
Pair Trading with Agha Steel
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 Agha Steel 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 Agha Steel will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Agha Steel could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Agha Steel 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 Agha Steel - 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 Agha Steel Industries to buy it.
The correlation of Agha Steel 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 Agha Steel moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Agha Steel Industries 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 Agha Steel 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.