Amreli Steels (Pakistan) Market Value
| ASTL Stock | 23.00 0.33 1.46% |
| Symbol | Amreli |
Amreli Steels '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 Amreli Steels' 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 Amreli Steels.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Amreli Steels on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Amreli Steels or generate 0.0% return on investment in Amreli Steels over 30 days. Amreli Steels is related to or competes with Unilever Pakistan, Packages, Matco Foods, and Security Investment. More
Amreli Steels 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 Amreli Steels' 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 Amreli Steels upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 14.57 | |||
| Value At Risk | (4.31) | |||
| Potential Upside | 4.88 |
Amreli Steels Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Amreli Steels' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Amreli Steels' standard deviation. In reality, there are many statistical measures that can use Amreli Steels historical prices to predict the future Amreli Steels' volatility.| Risk Adjusted Performance | 0.0036 | |||
| Jensen Alpha | 0.041 | |||
| Total Risk Alpha | (0.56) | |||
| Treynor Ratio | 0.0482 |
Amreli Steels Backtested Returns
Amreli Steels secures Sharpe Ratio (or Efficiency) of -0.0136, which signifies that the company had a -0.0136% return per unit of risk over the last 3 months. Amreli Steels exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Amreli Steels' Risk Adjusted Performance of 0.0036, mean deviation of 2.35, and Standard Deviation of 3.37 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.62, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Amreli Steels are expected to decrease at a much lower rate. During the bear market, Amreli Steels is likely to outperform the market. At this point, Amreli Steels has a negative expected return of -0.0466%. Please make sure to confirm Amreli Steels' value at risk, skewness, and the relationship between the maximum drawdown and potential upside , to decide if Amreli Steels performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.63 |
Good predictability
Amreli Steels has good predictability. Overlapping area represents the amount of predictability between Amreli Steels time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th 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 Amreli Steels price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Amreli Steels price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 0.85 |
Amreli Steels lagged returns against current returns
Autocorrelation, which is Amreli Steels 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 Amreli Steels' stock expected returns. We can calculate the autocorrelation of Amreli Steels returns to help us make a trade decision. For example, suppose you find that Amreli Steels 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 |
Amreli Steels 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 Amreli Steels stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Amreli Steels stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Amreli Steels stock over time.
Current vs Lagged Prices |
| Timeline |
Amreli Steels Lagged Returns
When evaluating Amreli Steels' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Amreli Steels stock have on its future price. Amreli Steels 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, Amreli Steels autocorrelation shows the relationship between Amreli Steels stock current value and its past values and can show if there is a momentum factor associated with investing in Amreli Steels.
Regressed Prices |
| Timeline |
Pair Trading with Amreli Steels
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 Amreli Steels 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 Amreli Steels will appreciate offsetting losses from the drop in the long position's value.Moving together with Amreli Stock
The ability to find closely correlated positions to Amreli Steels could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Amreli Steels 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 Amreli Steels - 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 Amreli Steels to buy it.
The correlation of Amreli Steels 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 Amreli Steels moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Amreli Steels 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 Amreli Steels 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 Amreli Stock
Amreli Steels financial ratios help investors to determine whether Amreli 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 Amreli with respect to the benefits of owning Amreli Steels security.