Realtek Semiconductor (Taiwan) Market Value
| 2379 Stock | TWD 520.00 3.00 0.57% |
| Symbol | Realtek |
Realtek 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 Realtek Semiconductor'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 Realtek Semiconductor.
| 03/29/2024 |
| 04/28/2024 |
If you would invest 0.00 in Realtek Semiconductor on March 29, 2024 and sell it all today you would earn a total of 0.00 from holding Realtek Semiconductor Corp or generate 0.0% return on investment in Realtek Semiconductor over 30 days. Realtek Semiconductor is related to or competes with Novatek Microelectronics, MediaTek, VIA Technologies, Quanta Computer, and United Microelectronics. Realtek Semiconductor Corp. designs, develops, and distributes various IC products for communications network, computer ... More
Realtek 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 Realtek Semiconductor'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 Realtek Semiconductor Corp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.41 | |||
| Information Ratio | 0.0719 | |||
| Maximum Drawdown | 14.88 | |||
| Value At Risk | (3.20) | |||
| Potential Upside | 3.72 |
Realtek Semiconductor Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Realtek Semiconductor's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Realtek Semiconductor's standard deviation. In reality, there are many statistical measures that can use Realtek Semiconductor historical prices to predict the future Realtek Semiconductor's volatility.| Risk Adjusted Performance | 0.0762 | |||
| Jensen Alpha | 0.2637 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.0691 | |||
| Treynor Ratio | (1.11) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Realtek 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.
Realtek Semiconductor Backtested Returns
Realtek Semiconductor appears to be very steady, given 3 months investment horizon. Realtek Semiconductor maintains Sharpe Ratio (i.e., Efficiency) of 0.11, which implies the firm had a 0.11% return per unit of risk over the last 3 months. We have found thirty technical indicators for Realtek Semiconductor, which you can use to evaluate the volatility of the company. Please evaluate Realtek Semiconductor's Risk Adjusted Performance of 0.0762, coefficient of variation of 905.96, and Semi Deviation of 2.16 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Realtek Semiconductor holds a performance score of 8. The company holds a Beta of -0.22, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Realtek Semiconductor are expected to decrease at a much lower rate. During the bear market, Realtek Semiconductor is likely to outperform the market. Please check Realtek Semiconductor's market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to make a quick decision on whether Realtek Semiconductor's historical price patterns will revert.
Auto-correlation | -0.15 |
Insignificant reverse predictability
Realtek Semiconductor Corp has insignificant reverse predictability. Overlapping area represents the amount of predictability between Realtek Semiconductor time series from 29th of March 2024 to 13th of April 2024 and 13th of April 2024 to 28th of April 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 Realtek Semiconductor price movement. The serial correlation of -0.15 indicates that less than 15.0% of current Realtek Semiconductor price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 565.01 |
Realtek Semiconductor lagged returns against current returns
Autocorrelation, which is Realtek Semiconductor 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 Realtek Semiconductor's stock expected returns. We can calculate the autocorrelation of Realtek Semiconductor returns to help us make a trade decision. For example, suppose you find that Realtek Semiconductor 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 |
Realtek 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 Realtek Semiconductor stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Realtek Semiconductor stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Realtek Semiconductor stock over time.
Current vs Lagged Prices |
| Timeline |
Realtek Semiconductor Lagged Returns
When evaluating Realtek Semiconductor's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Realtek Semiconductor stock have on its future price. Realtek 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, Realtek Semiconductor autocorrelation shows the relationship between Realtek Semiconductor stock current value and its past values and can show if there is a momentum factor associated with investing in Realtek Semiconductor Corp.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Realtek Semiconductor in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Realtek Semiconductor's short interest history, or implied volatility extrapolated from Realtek Semiconductor options trading.
Thematic Opportunities
Explore Investment Opportunities
Check out Realtek Semiconductor Correlation, Realtek Semiconductor Volatility and Realtek Semiconductor Alpha and Beta module to complement your research on Realtek Semiconductor. You can also try the Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
Complementary Tools for Realtek Stock analysis
When running Realtek Semiconductor's price analysis, check to measure Realtek Semiconductor's 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 Realtek Semiconductor is operating at the current time. Most of Realtek Semiconductor's value examination focuses on studying past and present price action to predict the probability of Realtek Semiconductor's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Realtek Semiconductor's price. Additionally, you may evaluate how the addition of Realtek Semiconductor to your portfolios can decrease your overall portfolio volatility.
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Realtek Semiconductor technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.