AgriBank Securities (Vietnam) Market Value
| AGR Stock | 18,400 150.00 0.82% |
| Symbol | AgriBank |
AgriBank Securities '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 AgriBank Securities' 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 AgriBank Securities.
| 12/17/2024 |
| 03/17/2025 |
If you would invest 0.00 in AgriBank Securities on December 17, 2024 and sell it all today you would earn a total of 0.00 from holding AgriBank Securities JSC or generate 0.0% return on investment in AgriBank Securities over 90 days. AgriBank Securities is related to or competes with Vietnam National, Song Hong, PetroVietnam Drilling, DIC Holdings, Viettel Construction, Construction JSC, and Da Nang. More
AgriBank Securities 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 AgriBank Securities' 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 AgriBank Securities JSC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.03 | |||
| Information Ratio | 0.1257 | |||
| Maximum Drawdown | 4.94 | |||
| Value At Risk | (1.75) | |||
| Potential Upside | 1.79 |
AgriBank Securities Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AgriBank Securities' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AgriBank Securities' standard deviation. In reality, there are many statistical measures that can use AgriBank Securities historical prices to predict the future AgriBank Securities' volatility.| Risk Adjusted Performance | 0.0361 | |||
| Jensen Alpha | 0.0396 | |||
| Total Risk Alpha | 0.1769 | |||
| Sortino Ratio | 0.1392 | |||
| Treynor Ratio | 0.6881 |
AgriBank Securities JSC Backtested Returns
As of now, AgriBank Stock is very steady. AgriBank Securities JSC secures Sharpe Ratio (or Efficiency) of 0.1, which signifies that the company had a 0.1 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for AgriBank Securities JSC, which you can use to evaluate the volatility of the firm. Please confirm AgriBank Securities' Risk Adjusted Performance of 0.0361, downside deviation of 1.03, and Mean Deviation of 0.858 to double-check if the risk estimate we provide is consistent with the expected return of 0.12%. AgriBank Securities has a performance score of 7 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0497, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AgriBank Securities' returns are expected to increase less than the market. However, during the bear market, the loss of holding AgriBank Securities is expected to be smaller as well. AgriBank Securities JSC right now shows a risk of 1.16%. Please confirm AgriBank Securities JSC treynor ratio, kurtosis, period momentum indicator, as well as the relationship between the downside variance and day median price , to decide if AgriBank Securities JSC will be following its price patterns.
Auto-correlation | -0.84 |
Excellent reverse predictability
AgriBank Securities JSC has excellent reverse predictability. Overlapping area represents the amount of predictability between AgriBank Securities time series from 17th of December 2024 to 31st of January 2025 and 31st of January 2025 to 17th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AgriBank Securities JSC price movement. The serial correlation of -0.84 indicates that around 84.0% of current AgriBank Securities price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.84 | |
| Spearman Rank Test | -0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 546.3 K |
AgriBank Securities JSC lagged returns against current returns
Autocorrelation, which is AgriBank Securities 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 AgriBank Securities' stock expected returns. We can calculate the autocorrelation of AgriBank Securities returns to help us make a trade decision. For example, suppose you find that AgriBank Securities 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 |
AgriBank Securities 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 AgriBank Securities stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AgriBank Securities stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AgriBank Securities stock over time.
Current vs Lagged Prices |
| Timeline |
AgriBank Securities Lagged Returns
When evaluating AgriBank Securities' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AgriBank Securities stock have on its future price. AgriBank Securities 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, AgriBank Securities autocorrelation shows the relationship between AgriBank Securities stock current value and its past values and can show if there is a momentum factor associated with investing in AgriBank Securities JSC.
Regressed Prices |
| Timeline |
Pair Trading with AgriBank Securities
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 AgriBank Securities 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 AgriBank Securities will appreciate offsetting losses from the drop in the long position's value.Moving together with AgriBank Stock
The ability to find closely correlated positions to AgriBank Securities could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AgriBank Securities 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 AgriBank Securities - 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 AgriBank Securities JSC to buy it.
The correlation of AgriBank Securities 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 AgriBank Securities moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AgriBank Securities JSC 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 AgriBank Securities 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.Other Information on Investing in AgriBank Stock
AgriBank Securities financial ratios help investors to determine whether AgriBank Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in AgriBank with respect to the benefits of owning AgriBank Securities security.