Ittehad Chemicals (Pakistan) Market Value
| ICL Stock | 68.22 0.10 0.15% |
| Symbol | Ittehad |
Ittehad Chemicals '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 Ittehad Chemicals' 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 Ittehad Chemicals.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Ittehad Chemicals on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Ittehad Chemicals or generate 0.0% return on investment in Ittehad Chemicals over 30 days. Ittehad Chemicals is related to or competes with Masood Textile, Fauji Foods, KSB Pumps, Mari Petroleum, Loads, Thatta Cement, and KOT Addu. More
Ittehad Chemicals 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 Ittehad Chemicals' 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 Ittehad Chemicals upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.35 | |||
| Information Ratio | 0.1703 | |||
| Maximum Drawdown | 16.23 | |||
| Value At Risk | (2.55) | |||
| Potential Upside | 4.33 |
Ittehad Chemicals Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ittehad Chemicals' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ittehad Chemicals' standard deviation. In reality, there are many statistical measures that can use Ittehad Chemicals historical prices to predict the future Ittehad Chemicals' volatility.| Risk Adjusted Performance | 0.1609 | |||
| Jensen Alpha | 0.5438 | |||
| Total Risk Alpha | 0.1496 | |||
| Sortino Ratio | 0.2149 | |||
| Treynor Ratio | 0.9416 |
Ittehad Chemicals Backtested Returns
Ittehad Chemicals appears to be very steady, given 3 months investment horizon. Ittehad Chemicals holds Efficiency (Sharpe) Ratio of 0.2, which attests that the entity had a 0.2% return per unit of risk over the last 3 months. By evaluating Ittehad Chemicals' technical indicators, you can evaluate if the expected return of 0.61% is justified by implied risk. Please utilize Ittehad Chemicals' Downside Deviation of 2.35, market risk adjusted performance of 0.9516, and Risk Adjusted Performance of 0.1609 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Ittehad Chemicals holds a performance score of 15. The company retains a Market Volatility (i.e., Beta) of 0.66, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Ittehad Chemicals' returns are expected to increase less than the market. However, during the bear market, the loss of holding Ittehad Chemicals is expected to be smaller as well. Please check Ittehad Chemicals' treynor ratio, downside variance, kurtosis, as well as the relationship between the value at risk and expected short fall , to make a quick decision on whether Ittehad Chemicals' current trending patterns will revert.
Auto-correlation | 0.15 |
Insignificant predictability
Ittehad Chemicals has insignificant predictability. Overlapping area represents the amount of predictability between Ittehad Chemicals time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 Ittehad Chemicals price movement. The serial correlation of 0.15 indicates that less than 15.0% of current Ittehad Chemicals price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.15 | |
| Spearman Rank Test | 0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 6.85 |
Ittehad Chemicals lagged returns against current returns
Autocorrelation, which is Ittehad Chemicals 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 Ittehad Chemicals' stock expected returns. We can calculate the autocorrelation of Ittehad Chemicals returns to help us make a trade decision. For example, suppose you find that Ittehad Chemicals 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 |
Ittehad Chemicals 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 Ittehad Chemicals stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ittehad Chemicals stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ittehad Chemicals stock over time.
Current vs Lagged Prices |
| Timeline |
Ittehad Chemicals Lagged Returns
When evaluating Ittehad Chemicals' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ittehad Chemicals stock have on its future price. Ittehad Chemicals 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, Ittehad Chemicals autocorrelation shows the relationship between Ittehad Chemicals stock current value and its past values and can show if there is a momentum factor associated with investing in Ittehad Chemicals.
Regressed Prices |
| Timeline |
Pair Trading with Ittehad Chemicals
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 Ittehad Chemicals 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 Ittehad Chemicals will appreciate offsetting losses from the drop in the long position's value.Moving together with Ittehad Stock
The ability to find closely correlated positions to Ittehad Chemicals could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Ittehad Chemicals 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 Ittehad Chemicals - 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 Ittehad Chemicals to buy it.
The correlation of Ittehad Chemicals 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 Ittehad Chemicals moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Ittehad Chemicals 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 Ittehad Chemicals 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 Ittehad Stock Analysis
When running Ittehad Chemicals' price analysis, check to measure Ittehad Chemicals' 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 Ittehad Chemicals is operating at the current time. Most of Ittehad Chemicals' value examination focuses on studying past and present price action to predict the probability of Ittehad Chemicals' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Ittehad Chemicals' price. Additionally, you may evaluate how the addition of Ittehad Chemicals to your portfolios can decrease your overall portfolio volatility.