Taiwan Semiconductor Manufacturing Stock Market Value
| TSMWF Stock | 17.24 4.00 30.21% |
| Symbol | Taiwan |
Taiwan Semiconductor '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 Taiwan Semiconductor's pink sheet 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 Taiwan Semiconductor.
| 12/26/2022 |
| 12/15/2024 |
If you would invest 0.00 in Taiwan Semiconductor on December 26, 2022 and sell it all today you would earn a total of 0.00 from holding Taiwan Semiconductor Manufacturing or generate 0.0% return on investment in Taiwan Semiconductor over 720 days.
Taiwan Semiconductor 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 Taiwan Semiconductor's pink sheet 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 Taiwan Semiconductor Manufacturing upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.1562 | |||
| Maximum Drawdown | 30.19 |
Taiwan Semiconductor Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Taiwan Semiconductor's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Taiwan Semiconductor's standard deviation. In reality, there are many statistical measures that can use Taiwan Semiconductor historical prices to predict the future Taiwan Semiconductor's volatility.| Risk Adjusted Performance | 0.1358 | |||
| Jensen Alpha | 0.9058 | |||
| Total Risk Alpha | 0.2569 | |||
| Treynor Ratio | (113.14) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Taiwan Semiconductor's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Taiwan Semiconductor Backtested Returns
Taiwan Semiconductor appears to be not too volatile, given 3 months investment horizon. Taiwan Semiconductor owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.12, which indicates the firm had a 0.12% return per unit of risk over the last 3 months. We have found nineteen technical indicators for Taiwan Semiconductor Manufacturing, which you can use to evaluate the volatility of the company. Please review Taiwan Semiconductor's Coefficient Of Variation of 570.02, risk adjusted performance of 0.1358, and Variance of 27.21 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Taiwan Semiconductor holds a performance score of 9. The entity has a beta of -0.008, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Taiwan Semiconductor are expected to decrease at a much lower rate. During the bear market, Taiwan Semiconductor is likely to outperform the market. Please check Taiwan Semiconductor's variance, kurtosis, as well as the relationship between the Kurtosis and price action indicator , to make a quick decision on whether Taiwan Semiconductor's existing price patterns will revert.
Auto-correlation | 0.47 |
Average predictability
Taiwan Semiconductor Manufacturing has average predictability. Overlapping area represents the amount of predictability between Taiwan Semiconductor time series from 26th of December 2022 to 21st of December 2023 and 21st of December 2023 to 15th 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 Taiwan Semiconductor price movement. The serial correlation of 0.47 indicates that about 47.0% of current Taiwan Semiconductor price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.58 |
Taiwan Semiconductor lagged returns against current returns
Autocorrelation, which is Taiwan Semiconductor pink sheet'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 Taiwan Semiconductor's pink sheet expected returns. We can calculate the autocorrelation of Taiwan Semiconductor returns to help us make a trade decision. For example, suppose you find that Taiwan Semiconductor has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Taiwan Semiconductor 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 Taiwan Semiconductor pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Taiwan Semiconductor pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Taiwan Semiconductor pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Taiwan Semiconductor Lagged Returns
When evaluating Taiwan Semiconductor's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Taiwan Semiconductor pink sheet have on its future price. Taiwan Semiconductor 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, Taiwan Semiconductor autocorrelation shows the relationship between Taiwan Semiconductor pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Taiwan Semiconductor Manufacturing.
Regressed Prices |
| Timeline |