Idemitsu Kosan Co Stock Market Value
| IDKOY Stock | USD 13.57 0.16 1.19% |
| Symbol | Idemitsu |
Idemitsu Kosan '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 Idemitsu Kosan'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 Idemitsu Kosan.
| 05/11/2022 |
| 04/30/2024 |
If you would invest 0.00 in Idemitsu Kosan on May 11, 2022 and sell it all today you would earn a total of 0.00 from holding Idemitsu Kosan Co or generate 0.0% return on investment in Idemitsu Kosan over 720 days. Idemitsu Kosan is related to or competes with Cosan SA, Delek Energy, Crossamerica Partners, Par Pacific, Valvoline, Delek Logistics, and Star Gas. ,Ltd. operates in petroleum, basic chemicals, functional materials, power and renewable energy, and resources businesses... More
Idemitsu Kosan 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 Idemitsu Kosan'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 Idemitsu Kosan Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.79 | |||
| Information Ratio | 0.0783 | |||
| Maximum Drawdown | 15.3 | |||
| Value At Risk | (3.61) | |||
| Potential Upside | 4.5 |
Idemitsu Kosan Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Idemitsu Kosan's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Idemitsu Kosan's standard deviation. In reality, there are many statistical measures that can use Idemitsu Kosan historical prices to predict the future Idemitsu Kosan's volatility.| Risk Adjusted Performance | 0.0784 | |||
| Jensen Alpha | 0.2327 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.0708 | |||
| Treynor Ratio | 0.4957 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Idemitsu Kosan'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.
Idemitsu Kosan Backtested Returns
Idemitsu Kosan appears to be not too volatile, given 3 months investment horizon. Idemitsu Kosan holds Efficiency (Sharpe) Ratio of 0.15, which attests that the entity had a 0.15% return per unit of risk over the last 3 months. We have found thirty technical indicators for Idemitsu Kosan, which you can use to evaluate the volatility of the firm. Please utilize Idemitsu Kosan's Downside Deviation of 2.79, market risk adjusted performance of 0.5057, and Risk Adjusted Performance of 0.0784 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Idemitsu Kosan holds a performance score of 11. The company retains a Market Volatility (i.e., Beta) of 0.56, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Idemitsu Kosan's returns are expected to increase less than the market. However, during the bear market, the loss of holding Idemitsu Kosan is expected to be smaller as well. Please check Idemitsu Kosan's downside variance, and the relationship between the total risk alpha and daily balance of power , to make a quick decision on whether Idemitsu Kosan's current trending patterns will revert.
Auto-correlation | -0.48 |
Modest reverse predictability
Idemitsu Kosan Co has modest reverse predictability. Overlapping area represents the amount of predictability between Idemitsu Kosan time series from 11th of May 2022 to 6th of May 2023 and 6th of May 2023 to 30th 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 Idemitsu Kosan price movement. The serial correlation of -0.48 indicates that about 48.0% of current Idemitsu Kosan price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.48 | |
| Spearman Rank Test | -0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 2.46 |
Idemitsu Kosan lagged returns against current returns
Autocorrelation, which is Idemitsu Kosan 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 Idemitsu Kosan's pink sheet expected returns. We can calculate the autocorrelation of Idemitsu Kosan returns to help us make a trade decision. For example, suppose you find that Idemitsu Kosan 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 |
Idemitsu Kosan 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 Idemitsu Kosan pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Idemitsu Kosan pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Idemitsu Kosan pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Idemitsu Kosan Lagged Returns
When evaluating Idemitsu Kosan's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Idemitsu Kosan pink sheet have on its future price. Idemitsu Kosan 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, Idemitsu Kosan autocorrelation shows the relationship between Idemitsu Kosan pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Idemitsu Kosan Co.
Regressed Prices |
| Timeline |
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Complementary Tools for Idemitsu Pink Sheet analysis
When running Idemitsu Kosan's price analysis, check to measure Idemitsu Kosan'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 Idemitsu Kosan is operating at the current time. Most of Idemitsu Kosan's value examination focuses on studying past and present price action to predict the probability of Idemitsu Kosan's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Idemitsu Kosan's price. Additionally, you may evaluate how the addition of Idemitsu Kosan to your portfolios can decrease your overall portfolio volatility.
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Idemitsu Kosan 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.