Roshan Packages (Pakistan) Market Value
| RPL Stock | 17.80 0.25 1.39% |
| Symbol | Roshan |
Roshan Packages '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 Roshan Packages' 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 Roshan Packages.
| 12/23/2024 |
| 01/22/2025 |
If you would invest 0.00 in Roshan Packages on December 23, 2024 and sell it all today you would earn a total of 0.00 from holding Roshan Packages or generate 0.0% return on investment in Roshan Packages over 30 days. Roshan Packages is related to or competes with Shaheen Insurance, Askari General, Pakistan Telecommunicatio, Adamjee Insurance, United Insurance, and Jubilee Life. More
Roshan Packages 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 Roshan Packages' 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 Roshan Packages upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.7 | |||
| Information Ratio | 0.0555 | |||
| Maximum Drawdown | 16.91 | |||
| Value At Risk | (4.77) | |||
| Potential Upside | 5.36 |
Roshan Packages Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Roshan Packages' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Roshan Packages' standard deviation. In reality, there are many statistical measures that can use Roshan Packages historical prices to predict the future Roshan Packages' volatility.| Risk Adjusted Performance | 0.0636 | |||
| Jensen Alpha | 0.1889 | |||
| Total Risk Alpha | 0.1061 | |||
| Sortino Ratio | 0.0651 | |||
| Treynor Ratio | 0.4192 |
Roshan Packages Backtested Returns
Roshan Packages appears to be not too volatile, given 3 months investment horizon. Roshan Packages maintains Sharpe Ratio (i.e., Efficiency) of 0.0667, which implies the firm had a 0.0667 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Roshan Packages, which you can use to evaluate the volatility of the company. Please evaluate Roshan Packages' Coefficient Of Variation of 1499.48, risk adjusted performance of 0.0636, and Semi Deviation of 2.5 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Roshan Packages holds a performance score of 5. The company holds a Beta of 0.48, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Roshan Packages' returns are expected to increase less than the market. However, during the bear market, the loss of holding Roshan Packages is expected to be smaller as well. Please check Roshan Packages' 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 Roshan Packages' historical price patterns will revert.
Auto-correlation | 0.32 |
Below average predictability
Roshan Packages has below average predictability. Overlapping area represents the amount of predictability between Roshan Packages time series from 23rd of December 2024 to 7th of January 2025 and 7th of January 2025 to 22nd of January 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 Roshan Packages price movement. The serial correlation of 0.32 indicates that nearly 32.0% of current Roshan Packages price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.32 | |
| Spearman Rank Test | -0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Roshan Packages lagged returns against current returns
Autocorrelation, which is Roshan Packages 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 Roshan Packages' stock expected returns. We can calculate the autocorrelation of Roshan Packages returns to help us make a trade decision. For example, suppose you find that Roshan Packages 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 |
Roshan Packages 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 Roshan Packages stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Roshan Packages stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Roshan Packages stock over time.
Current vs Lagged Prices |
| Timeline |
Roshan Packages Lagged Returns
When evaluating Roshan Packages' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Roshan Packages stock have on its future price. Roshan Packages 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, Roshan Packages autocorrelation shows the relationship between Roshan Packages stock current value and its past values and can show if there is a momentum factor associated with investing in Roshan Packages.
Regressed Prices |
| Timeline |
Pair Trading with Roshan Packages
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 Roshan Packages 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 Roshan Packages will appreciate offsetting losses from the drop in the long position's value.Moving together with Roshan Stock
| 0.81 | KEL | K Electric | PairCorr |
| 0.87 | LUCK | Lucky Cement Earnings Call Tomorrow | PairCorr |
| 0.72 | PTC | Pakistan Telecommunicatio | PairCorr |
Moving against Roshan Stock
The ability to find closely correlated positions to Roshan Packages could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Roshan Packages 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 Roshan Packages - 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 Roshan Packages to buy it.
The correlation of Roshan Packages 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 Roshan Packages moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Roshan Packages 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 Roshan Packages 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 Roshan Stock Analysis
When running Roshan Packages' price analysis, check to measure Roshan Packages' 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 Roshan Packages is operating at the current time. Most of Roshan Packages' value examination focuses on studying past and present price action to predict the probability of Roshan Packages' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Roshan Packages' price. Additionally, you may evaluate how the addition of Roshan Packages to your portfolios can decrease your overall portfolio volatility.