Shadab Textile (Pakistan) Market Value
| SHDT Stock | 20.45 1.18 5.46% |
| Symbol | Shadab |
Shadab Textile '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 Shadab Textile'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 Shadab Textile.
| 12/09/2024 |
| 01/08/2025 |
If you would invest 0.00 in Shadab Textile on December 9, 2024 and sell it all today you would earn a total of 0.00 from holding Shadab Textile Mills or generate 0.0% return on investment in Shadab Textile over 30 days.
Shadab Textile 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 Shadab Textile'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 Shadab Textile Mills upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.83 | |||
| Information Ratio | 0.1401 | |||
| Maximum Drawdown | 18.58 | |||
| Value At Risk | (5.31) | |||
| Potential Upside | 8.41 |
Shadab Textile Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shadab Textile's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shadab Textile's standard deviation. In reality, there are many statistical measures that can use Shadab Textile historical prices to predict the future Shadab Textile's volatility.| Risk Adjusted Performance | 0.1272 | |||
| Jensen Alpha | 0.5374 | |||
| Total Risk Alpha | 0.4681 | |||
| Sortino Ratio | 0.1397 | |||
| Treynor Ratio | 0.6262 |
Shadab Textile Mills Backtested Returns
Shadab Textile appears to be not too volatile, given 3 months investment horizon. Shadab Textile Mills owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the firm had a 0.16% return per unit of risk over the last 3 months. By inspecting Shadab Textile's technical indicators, you can evaluate if the expected return of 0.65% is justified by implied risk. Please review Shadab Textile's Risk Adjusted Performance of 0.1272, semi deviation of 2.74, and Coefficient Of Variation of 678.21 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Shadab Textile holds a performance score of 12. The entity has a beta of 0.88, which indicates possible diversification benefits within a given portfolio. Shadab Textile returns are very sensitive to returns on the market. As the market goes up or down, Shadab Textile is expected to follow. Please check Shadab Textile's semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to make a quick decision on whether Shadab Textile's existing price patterns will revert.
Auto-correlation | 0.19 |
Very weak predictability
Shadab Textile Mills has very weak predictability. Overlapping area represents the amount of predictability between Shadab Textile time series from 9th of December 2024 to 24th of December 2024 and 24th of December 2024 to 8th 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 Shadab Textile Mills price movement. The serial correlation of 0.19 indicates that over 19.0% of current Shadab Textile price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.19 | |
| Spearman Rank Test | 0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 0.19 |
Shadab Textile Mills lagged returns against current returns
Autocorrelation, which is Shadab Textile 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 Shadab Textile's stock expected returns. We can calculate the autocorrelation of Shadab Textile returns to help us make a trade decision. For example, suppose you find that Shadab Textile 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 |
Shadab Textile 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 Shadab Textile stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shadab Textile stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shadab Textile stock over time.
Current vs Lagged Prices |
| Timeline |
Shadab Textile Lagged Returns
When evaluating Shadab Textile's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shadab Textile stock have on its future price. Shadab Textile 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, Shadab Textile autocorrelation shows the relationship between Shadab Textile stock current value and its past values and can show if there is a momentum factor associated with investing in Shadab Textile Mills.
Regressed Prices |
| Timeline |
Pair Trading with Shadab Textile
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 Shadab Textile 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 Shadab Textile will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Shadab Textile could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Shadab Textile 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 Shadab Textile - 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 Shadab Textile Mills to buy it.
The correlation of Shadab Textile 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 Shadab Textile moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Shadab Textile Mills 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 Shadab Textile 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.