Asahi Kasei Stock Market Value
| AHKSF Stock | USD 7.10 0.17 2.45% |
| Symbol | Asahi |
Asahi Kasei '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 Asahi Kasei'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 Asahi Kasei.
| 03/29/2024 |
| 04/28/2024 |
If you would invest 0.00 in Asahi Kasei on March 29, 2024 and sell it all today you would earn a total of 0.00 from holding Asahi Kasei or generate 0.0% return on investment in Asahi Kasei over 30 days. Asahi Kasei is related to or competes with Braskem SA, Lsb Industries, Dow, and Huntsman. Asahi Kasei Corporation manufactures, processes, and sells chemical products in Japan and internationally More
Asahi Kasei 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 Asahi Kasei'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 Asahi Kasei upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 12.24 | |||
| Value At Risk | (4.38) | |||
| Potential Upside | 3.5 |
Asahi Kasei Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Asahi Kasei's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Asahi Kasei's standard deviation. In reality, there are many statistical measures that can use Asahi Kasei historical prices to predict the future Asahi Kasei's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.38) | |||
| Treynor Ratio | 0.5827 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Asahi Kasei'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.
Asahi Kasei Backtested Returns
Asahi Kasei secures Sharpe Ratio (or Efficiency) of -0.0427, which signifies that the company had a -0.0427% return per unit of standard deviation over the last 3 months. Asahi Kasei exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Asahi Kasei's mean deviation of 1.13, and Risk Adjusted Performance of (0.02) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.17, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Asahi Kasei are expected to decrease at a much lower rate. During the bear market, Asahi Kasei is likely to outperform the market. Asahi Kasei has an expected return of -0.0944%. Please make sure to confirm Asahi Kasei total risk alpha, and the relationship between the standard deviation and kurtosis , to decide if Asahi Kasei performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.08 |
Very weak reverse predictability
Asahi Kasei has very weak reverse predictability. Overlapping area represents the amount of predictability between Asahi Kasei 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 Asahi Kasei price movement. The serial correlation of -0.08 indicates that barely 8.0% of current Asahi Kasei price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.08 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Asahi Kasei lagged returns against current returns
Autocorrelation, which is Asahi Kasei 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 Asahi Kasei's pink sheet expected returns. We can calculate the autocorrelation of Asahi Kasei returns to help us make a trade decision. For example, suppose you find that Asahi Kasei 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 |
Asahi Kasei 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 Asahi Kasei pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Asahi Kasei pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Asahi Kasei pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Asahi Kasei Lagged Returns
When evaluating Asahi Kasei's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Asahi Kasei pink sheet have on its future price. Asahi Kasei 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, Asahi Kasei autocorrelation shows the relationship between Asahi Kasei pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Asahi Kasei.
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 Asahi Kasei 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, Asahi Kasei's short interest history, or implied volatility extrapolated from Asahi Kasei options trading.
Pair Trading with Asahi Kasei
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 Asahi Kasei 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 Asahi Kasei will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Asahi Kasei could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Asahi Kasei 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 Asahi Kasei - 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 Asahi Kasei to buy it.
The correlation of Asahi Kasei 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 Asahi Kasei moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Asahi Kasei 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 Asahi Kasei 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.Check out Asahi Kasei Correlation, Asahi Kasei Volatility and Asahi Kasei Alpha and Beta module to complement your research on Asahi Kasei. You can also try the Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Complementary Tools for Asahi Pink Sheet analysis
When running Asahi Kasei's price analysis, check to measure Asahi Kasei'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 Asahi Kasei is operating at the current time. Most of Asahi Kasei's value examination focuses on studying past and present price action to predict the probability of Asahi Kasei's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Asahi Kasei's price. Additionally, you may evaluate how the addition of Asahi Kasei to your portfolios can decrease your overall portfolio volatility.
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Asahi Kasei technical pink sheet 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, pink sheet market cycles, or different charting patterns.