Dong Il (Korea) Market Value
| 001530 Stock | 51,000 100.00 0.20% |
| Symbol | Dong |
Dong Il '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 Dong Il'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 Dong Il.
| 11/26/2024 |
| 12/26/2024 |
If you would invest 0.00 in Dong Il on November 26, 2024 and sell it all today you would earn a total of 0.00 from holding Dong Il Corp or generate 0.0% return on investment in Dong Il over 30 days.
Dong Il 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 Dong Il'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 Dong Il Corp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.61 | |||
| Information Ratio | 0.3139 | |||
| Maximum Drawdown | 17.7 | |||
| Value At Risk | (1.41) | |||
| Potential Upside | 5.91 |
Dong Il Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Dong Il's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Dong Il's standard deviation. In reality, there are many statistical measures that can use Dong Il historical prices to predict the future Dong Il's volatility.| Risk Adjusted Performance | 0.2718 | |||
| Jensen Alpha | 0.8601 | |||
| Total Risk Alpha | 0.7305 | |||
| Sortino Ratio | 0.3093 | |||
| Treynor Ratio | (1.63) |
Dong Il Corp Backtested Returns
Dong Il appears to be very steady, given 3 months investment horizon. Dong Il Corp secures Sharpe Ratio (or Efficiency) of 0.34, which denotes the company had a 0.34% return per unit of risk over the last 3 months. By reviewing Dong Il's technical indicators, you can evaluate if the expected return of 0.74% is justified by implied risk. Please utilize Dong Il's Downside Deviation of 2.61, coefficient of variation of 301.84, and Mean Deviation of 1.64 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Dong Il holds a performance score of 26. The firm shows a Beta (market volatility) of -0.52, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Dong Il are expected to decrease at a much lower rate. During the bear market, Dong Il is likely to outperform the market. Please check Dong Il's coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to make a quick decision on whether Dong Il's price patterns will revert.
Auto-correlation | 0.00 |
No correlation between past and present
Dong Il Corp has no correlation between past and present. Overlapping area represents the amount of predictability between Dong Il time series from 26th of November 2024 to 11th of December 2024 and 11th of December 2024 to 26th of December 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 Dong Il Corp price movement. The serial correlation of 0.0 indicates that just 0.0% of current Dong Il price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Dong Il Corp lagged returns against current returns
Autocorrelation, which is Dong Il 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 Dong Il's stock expected returns. We can calculate the autocorrelation of Dong Il returns to help us make a trade decision. For example, suppose you find that Dong Il 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 |
Dong Il 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 Dong Il stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Dong Il stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Dong Il stock over time.
Current vs Lagged Prices |
| Timeline |
Dong Il Lagged Returns
When evaluating Dong Il's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Dong Il stock have on its future price. Dong Il 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, Dong Il autocorrelation shows the relationship between Dong Il stock current value and its past values and can show if there is a momentum factor associated with investing in Dong Il Corp.
Regressed Prices |
| Timeline |
Pair Trading with Dong Il
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 Dong Il 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 Dong Il will appreciate offsetting losses from the drop in the long position's value.Moving against Dong Stock
| 0.86 | 051915 | LG Chem | PairCorr |
| 0.84 | 051910 | LG Chemicals | PairCorr |
| 0.82 | 005387 | Hyundai Motor | PairCorr |
| 0.78 | 005385 | Hyundai Motor | PairCorr |
| 0.77 | 006400 | Samsung SDI | PairCorr |
The ability to find closely correlated positions to Dong Il could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Dong Il 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 Dong Il - 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 Dong Il Corp to buy it.
The correlation of Dong Il 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 Dong Il moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Dong Il Corp 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 Dong Il 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.