Namyang Dairy (Korea) Market Value
| 003925 Stock | 37,000 1,000.00 2.78% |
| 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.
| 07/01/2024 |
| 12/28/2024 |
If you would invest 0.00 in Namyang Dairy on July 1, 2024 and sell it all today you would earn a total of 0.00 from holding Namyang Dairy Products or generate 0.0% return on investment in Namyang Dairy over 180 days.
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 Products upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.07 | |||
| Information Ratio | 0.1393 | |||
| Maximum Drawdown | 20.68 | |||
| Value At Risk | (3.51) | |||
| Potential Upside | 4.36 |
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 | 0.1276 | |||
| Jensen Alpha | 0.3973 | |||
| Total Risk Alpha | 0.3266 | |||
| Sortino Ratio | 0.1839 | |||
| Treynor Ratio | 1.69 |
Namyang Dairy Products Backtested Returns
Namyang Dairy Products has Sharpe Ratio of -0.0243, which conveys that the firm had a -0.0243% return per unit of risk over the last 3 months. Namyang Dairy exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Namyang Dairy's Mean Deviation of 1.72, downside deviation of 2.07, and Risk Adjusted Performance of 0.1276 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.24, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Namyang Dairy's returns are expected to increase less than the market. However, during the bear market, the loss of holding Namyang Dairy is expected to be smaller as well. At this point, Namyang Dairy Products has a negative expected return of -0.0437%. Please make sure to verify Namyang Dairy's coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Namyang Dairy Products performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.61 |
Good predictability
Namyang Dairy Products has good predictability. Overlapping area represents the amount of predictability between Namyang Dairy time series from 1st of July 2024 to 29th of September 2024 and 29th of September 2024 to 28th 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 Products price movement. The serial correlation of 0.61 indicates that roughly 61.0% of current Namyang Dairy price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.61 | |
| Spearman Rank Test | 0.57 | |
| Residual Average | 0.0 | |
| Price Variance | 1.3 M |
Namyang Dairy Products 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 Products.
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
| 0.57 | 005930 | Samsung Electronics | PairCorr |
| 0.57 | 005385 | Hyundai Motor | PairCorr |
| 0.54 | 005387 | Hyundai Motor | PairCorr |
| 0.53 | 006400 | Samsung SDI | PairCorr |
| 0.5 | 005935 | Samsung Electronics | 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 Products 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 Products 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.