Abocom Systems (Taiwan) Market Value
| 2444 Stock | TWD 11.25 0.15 1.35% |
| Symbol | Abocom |
Abocom Systems '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 Abocom Systems' 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 Abocom Systems.
| 04/02/2024 |
| 05/02/2024 |
If you would invest 0.00 in Abocom Systems on April 2, 2024 and sell it all today you would earn a total of 0.00 from holding Abocom Systems or generate 0.0% return on investment in Abocom Systems over 30 days. Abocom Systems is related to or competes with GlobalWafers, Kinsus Interconnect, Nanya Technology, and Sino American. AboCom Systems, Inc., a tele-communication company, designs, develops, and manufactures various RFmicrowave and networki... More
Abocom Systems 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 Abocom Systems' 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 Abocom Systems upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 6.75 | |||
| Value At Risk | (2.69) | |||
| Potential Upside | 2.62 |
Abocom Systems Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Abocom Systems' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Abocom Systems' standard deviation. In reality, there are many statistical measures that can use Abocom Systems historical prices to predict the future Abocom Systems' volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.1) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | 0.692 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Abocom Systems' 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.
Abocom Systems Backtested Returns
Abocom Systems secures Sharpe Ratio (or Efficiency) of -0.0983, which signifies that the company had a -0.0983% return per unit of risk over the last 3 months. Abocom Systems exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Abocom Systems' Mean Deviation of 1.19, risk adjusted performance of (0.03), and Standard Deviation of 1.54 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Abocom Systems are expected to decrease at a much lower rate. During the bear market, Abocom Systems is likely to outperform the market. Abocom Systems has an expected return of -0.15%. Please make sure to confirm Abocom Systems total risk alpha, maximum drawdown, and the relationship between the jensen alpha and treynor ratio , to decide if Abocom Systems performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.38 |
Poor reverse predictability
Abocom Systems has poor reverse predictability. Overlapping area represents the amount of predictability between Abocom Systems time series from 2nd of April 2024 to 17th of April 2024 and 17th of April 2024 to 2nd of May 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 Abocom Systems price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Abocom Systems price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Abocom Systems lagged returns against current returns
Autocorrelation, which is Abocom Systems 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 Abocom Systems' stock expected returns. We can calculate the autocorrelation of Abocom Systems returns to help us make a trade decision. For example, suppose you find that Abocom Systems 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 |
Abocom Systems 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 Abocom Systems stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Abocom Systems stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Abocom Systems stock over time.
Current vs Lagged Prices |
| Timeline |
Abocom Systems Lagged Returns
When evaluating Abocom Systems' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Abocom Systems stock have on its future price. Abocom Systems 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, Abocom Systems autocorrelation shows the relationship between Abocom Systems stock current value and its past values and can show if there is a momentum factor associated with investing in Abocom Systems.
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 Abocom Systems 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, Abocom Systems' short interest history, or implied volatility extrapolated from Abocom Systems options trading.
Thematic Opportunities
Explore Investment Opportunities
Check out Abocom Systems Correlation, Abocom Systems Volatility and Abocom Systems Alpha and Beta module to complement your research on Abocom Systems. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Abocom Stock analysis
When running Abocom Systems' price analysis, check to measure Abocom Systems' 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 Abocom Systems is operating at the current time. Most of Abocom Systems' value examination focuses on studying past and present price action to predict the probability of Abocom Systems' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Abocom Systems' price. Additionally, you may evaluate how the addition of Abocom Systems to your portfolios can decrease your overall portfolio volatility.
| Correlation Analysis Reduce portfolio risk simply by holding instruments which are not perfectly correlated | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Bollinger Bands Use Bollinger Bands indicator to analyze target price for a given investing horizon | |
| USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like |
Abocom Systems 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.