Namyang Dairy (Korea) Market Value
| 003920 Stock | 68,100 200.00 0.29% |
| Symbol | Namyang |
Namyang Dairy '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 Namyang Dairy'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 Namyang Dairy.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in Namyang Dairy on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding Namyang Dairy or generate 0.0% return on investment in Namyang Dairy over 360 days. Namyang Dairy is related to or competes with Korea Real, Korea Ratings, IQuest, and Wonbang Tech. More
Namyang Dairy 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 Namyang Dairy'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 Namyang Dairy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 22.01 | |||
| Information Ratio | 0.1139 | |||
| Maximum Drawdown | 990.15 | |||
| Value At Risk | (2.43) | |||
| Potential Upside | 6.04 |
Namyang Dairy Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Namyang Dairy's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Namyang Dairy's standard deviation. In reality, there are many statistical measures that can use Namyang Dairy historical prices to predict the future Namyang Dairy's volatility.| Risk Adjusted Performance | 0.098 | |||
| Jensen Alpha | 11.36 | |||
| Total Risk Alpha | (5.78) | |||
| Sortino Ratio | 0.577 | |||
| Treynor Ratio | 1.11 |
Namyang Dairy Backtested Returns
Namyang Dairy is out of control given 3 months investment horizon. Namyang Dairy has Sharpe Ratio of 0.12, which conveys that the firm had a 0.12% return per unit of risk over the last 3 months. We were able to analyze twenty-nine different technical indicators, which can help you to evaluate if expected returns of 14.38% are justified by taking the suggested risk. Use Namyang Dairy Mean Deviation of 26.88, downside deviation of 22.01, and Risk Adjusted Performance of 0.098 to evaluate company specific risk that cannot be diversified away. Namyang Dairy holds a performance score of 9 on a scale of zero to a hundred. The company secures a Beta (Market Risk) of 11.54, which conveys a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Namyang Dairy will likely underperform. Use Namyang Dairy coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to analyze future returns on Namyang Dairy.
Auto-correlation | -0.11 |
Insignificant reverse predictability
Namyang Dairy has insignificant reverse predictability. Overlapping area represents the amount of predictability between Namyang Dairy time series from 7th of December 2023 to 4th of June 2024 and 4th of June 2024 to 1st 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 Namyang Dairy price movement. The serial correlation of -0.11 indicates that less than 11.0% of current Namyang Dairy price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | -0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 23.9 B |
Namyang Dairy lagged returns against current returns
Autocorrelation, which is Namyang Dairy 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 Namyang Dairy's stock expected returns. We can calculate the autocorrelation of Namyang Dairy returns to help us make a trade decision. For example, suppose you find that Namyang Dairy 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 |
Namyang Dairy 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 Namyang Dairy stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Namyang Dairy stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Namyang Dairy stock over time.
Current vs Lagged Prices |
| Timeline |
Namyang Dairy Lagged Returns
When evaluating Namyang Dairy's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Namyang Dairy stock have on its future price. Namyang Dairy 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, Namyang Dairy autocorrelation shows the relationship between Namyang Dairy stock current value and its past values and can show if there is a momentum factor associated with investing in Namyang Dairy.
Regressed Prices |
| Timeline |
Pair Trading with Namyang Dairy
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 Namyang Dairy 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 Namyang Dairy will appreciate offsetting losses from the drop in the long position's value.Moving against Namyang Stock
| 0.66 | 007310 | Ottogi | PairCorr |
| 0.59 | 006400 | Samsung SDI | PairCorr |
| 0.56 | 298050 | Hyosung Advanced Mat | PairCorr |
| 0.5 | 051910 | LG Chemicals | PairCorr |
| 0.37 | 207940 | Samsung Biologics | PairCorr |
The ability to find closely correlated positions to Namyang Dairy could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Namyang Dairy 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 Namyang Dairy - 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 Namyang Dairy to buy it.
The correlation of Namyang Dairy 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 Namyang Dairy moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Namyang Dairy 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 Namyang Dairy 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.Other Information on Investing in Namyang Stock
Namyang Dairy financial ratios help investors to determine whether Namyang Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Namyang with respect to the benefits of owning Namyang Dairy security.