Pakistan Aluminium (Pakistan) Market Value
| PABC Stock | 121.24 9.83 8.82% |
| Symbol | Pakistan |
Pakistan Aluminium '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 Pakistan Aluminium'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 Pakistan Aluminium.
| 09/12/2024 |
| 12/11/2024 |
If you would invest 0.00 in Pakistan Aluminium on September 12, 2024 and sell it all today you would earn a total of 0.00 from holding Pakistan Aluminium Beverage or generate 0.0% return on investment in Pakistan Aluminium over 90 days.
Pakistan Aluminium 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 Pakistan Aluminium'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 Pakistan Aluminium Beverage upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.36 | |||
| Information Ratio | 0.1957 | |||
| Maximum Drawdown | 11.76 | |||
| Value At Risk | (2.11) | |||
| Potential Upside | 7.57 |
Pakistan Aluminium Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pakistan Aluminium's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pakistan Aluminium's standard deviation. In reality, there are many statistical measures that can use Pakistan Aluminium historical prices to predict the future Pakistan Aluminium's volatility.| Risk Adjusted Performance | 0.1807 | |||
| Jensen Alpha | 0.7065 | |||
| Total Risk Alpha | 0.2193 | |||
| Sortino Ratio | 0.4049 | |||
| Treynor Ratio | (1.89) |
Pakistan Aluminium Backtested Returns
Pakistan Aluminium appears to be very steady, given 3 months investment horizon. Pakistan Aluminium maintains Sharpe Ratio (i.e., Efficiency) of 0.26, which implies the firm had a 0.26% return per unit of risk over the last 3 months. By analyzing Pakistan Aluminium's technical indicators, you can evaluate if the expected return of 0.73% is justified by implied risk. Please evaluate Pakistan Aluminium's Semi Deviation of 0.7687, risk adjusted performance of 0.1807, and Coefficient Of Variation of 416.95 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Pakistan Aluminium holds a performance score of 20. The company holds a Beta of -0.35, which implies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Pakistan Aluminium are expected to decrease at a much lower rate. During the bear market, Pakistan Aluminium is likely to outperform the market. Please check Pakistan Aluminium's standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether Pakistan Aluminium's historical price patterns will revert.
Auto-correlation | 0.88 |
Very good predictability
Pakistan Aluminium Beverage has very good predictability. Overlapping area represents the amount of predictability between Pakistan Aluminium time series from 12th of September 2024 to 27th of October 2024 and 27th of October 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 Pakistan Aluminium price movement. The serial correlation of 0.88 indicates that approximately 88.0% of current Pakistan Aluminium price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 80.61 |
Pakistan Aluminium lagged returns against current returns
Autocorrelation, which is Pakistan Aluminium 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 Pakistan Aluminium's stock expected returns. We can calculate the autocorrelation of Pakistan Aluminium returns to help us make a trade decision. For example, suppose you find that Pakistan Aluminium 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 |
Pakistan Aluminium 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 Pakistan Aluminium stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pakistan Aluminium stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pakistan Aluminium stock over time.
Current vs Lagged Prices |
| Timeline |
Pakistan Aluminium Lagged Returns
When evaluating Pakistan Aluminium's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pakistan Aluminium stock have on its future price. Pakistan Aluminium 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, Pakistan Aluminium autocorrelation shows the relationship between Pakistan Aluminium stock current value and its past values and can show if there is a momentum factor associated with investing in Pakistan Aluminium Beverage.
Regressed Prices |
| Timeline |
Pair Trading with Pakistan Aluminium
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 Pakistan Aluminium 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 Pakistan Aluminium will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Pakistan Aluminium could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Pakistan Aluminium 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 Pakistan Aluminium - 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 Pakistan Aluminium Beverage to buy it.
The correlation of Pakistan Aluminium 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 Pakistan Aluminium moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pakistan Aluminium 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 Pakistan Aluminium 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.