Chugai Pharmaceutical Co Stock Market Value
| CHGCF Stock | USD 33.27 0.00 0.00% |
| Symbol | Chugai |
Chugai Pharmaceutical '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 Chugai Pharmaceutical'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 Chugai Pharmaceutical.
| 04/30/2023 |
| 04/24/2024 |
If you would invest 0.00 in Chugai Pharmaceutical on April 30, 2023 and sell it all today you would earn a total of 0.00 from holding Chugai Pharmaceutical Co or generate 0.0% return on investment in Chugai Pharmaceutical over 360 days. Chugai Pharmaceutical is related to or competes with Eli Lilly, Johnson Johnson, Merck, Roche Holding, AstraZeneca PLC, and Novartis. Chugai Pharmaceutical Co., Ltd., together with its subsidiaries, engages in the research, development, manufacturing, sa... More
Chugai Pharmaceutical 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 Chugai Pharmaceutical'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 Chugai Pharmaceutical Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 29.06 | |||
| Value At Risk | (2.79) |
Chugai Pharmaceutical Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Chugai Pharmaceutical's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Chugai Pharmaceutical's standard deviation. In reality, there are many statistical measures that can use Chugai Pharmaceutical historical prices to predict the future Chugai Pharmaceutical's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.51) | |||
| Treynor Ratio | (0.13) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Chugai Pharmaceutical'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.
Chugai Pharmaceutical Backtested Returns
Chugai Pharmaceutical secures Sharpe Ratio (or Efficiency) of -0.0401, which signifies that the company had a -0.0401% return per unit of risk over the last 3 months. Chugai Pharmaceutical Co exposes seventeen different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Chugai Pharmaceutical's Risk Adjusted Performance of (0.02), standard deviation of 2.99, and Mean Deviation of 0.9238 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.99, which signifies possible diversification benefits within a given portfolio. Chugai Pharmaceutical returns are very sensitive to returns on the market. As the market goes up or down, Chugai Pharmaceutical is expected to follow. Chugai Pharmaceutical has an expected return of -0.12%. Please make sure to confirm Chugai Pharmaceutical jensen alpha, skewness, as well as the relationship between the Skewness and day median price , to decide if Chugai Pharmaceutical performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.67 |
Good predictability
Chugai Pharmaceutical Co has good predictability. Overlapping area represents the amount of predictability between Chugai Pharmaceutical time series from 30th of April 2023 to 27th of October 2023 and 27th of October 2023 to 24th 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 Chugai Pharmaceutical price movement. The serial correlation of 0.67 indicates that around 67.0% of current Chugai Pharmaceutical price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 13.3 |
Chugai Pharmaceutical lagged returns against current returns
Autocorrelation, which is Chugai Pharmaceutical 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 Chugai Pharmaceutical's pink sheet expected returns. We can calculate the autocorrelation of Chugai Pharmaceutical returns to help us make a trade decision. For example, suppose you find that Chugai Pharmaceutical 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 |
Chugai Pharmaceutical 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 Chugai Pharmaceutical pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Chugai Pharmaceutical pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Chugai Pharmaceutical pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Chugai Pharmaceutical Lagged Returns
When evaluating Chugai Pharmaceutical's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Chugai Pharmaceutical pink sheet have on its future price. Chugai Pharmaceutical 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, Chugai Pharmaceutical autocorrelation shows the relationship between Chugai Pharmaceutical pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Chugai Pharmaceutical Co.
Regressed Prices |
| Timeline |
Pair Trading with Chugai Pharmaceutical
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 Chugai Pharmaceutical 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 Chugai Pharmaceutical will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Chugai Pharmaceutical could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Chugai Pharmaceutical 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 Chugai Pharmaceutical - 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 Chugai Pharmaceutical Co to buy it.
The correlation of Chugai Pharmaceutical 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 Chugai Pharmaceutical moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Chugai Pharmaceutical 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 Chugai Pharmaceutical 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 Chugai Pharmaceutical Correlation, Chugai Pharmaceutical Volatility and Chugai Pharmaceutical Alpha and Beta module to complement your research on Chugai Pharmaceutical. Note that the Chugai Pharmaceutical information on this page should be used as a complementary analysis to other Chugai Pharmaceutical's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
Complementary Tools for Chugai Pink Sheet analysis
When running Chugai Pharmaceutical's price analysis, check to measure Chugai Pharmaceutical'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 Chugai Pharmaceutical is operating at the current time. Most of Chugai Pharmaceutical's value examination focuses on studying past and present price action to predict the probability of Chugai Pharmaceutical's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Chugai Pharmaceutical's price. Additionally, you may evaluate how the addition of Chugai Pharmaceutical to your portfolios can decrease your overall portfolio volatility.
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Chugai Pharmaceutical 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.