Hanshin Construction (Korea) Market Value
| 004960 Stock | 6,890 90.00 1.29% |
| Symbol | Hanshin |
Hanshin Construction '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 Hanshin Construction'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 Hanshin Construction.
| 09/03/2024 |
| 12/02/2024 |
If you would invest 0.00 in Hanshin Construction on September 3, 2024 and sell it all today you would earn a total of 0.00 from holding Hanshin Construction Co or generate 0.0% return on investment in Hanshin Construction over 90 days. Hanshin Construction is related to or competes with Daejung Chemicals, Cloud Air, SK Chemicals, Korea Air, Polaris Office, Nice Information, and Display Tech. More
Hanshin Construction 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 Hanshin Construction'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 Hanshin Construction Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 16.01 | |||
| Value At Risk | (4.43) | |||
| Potential Upside | 2.54 |
Hanshin Construction Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hanshin Construction's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hanshin Construction's standard deviation. In reality, there are many statistical measures that can use Hanshin Construction historical prices to predict the future Hanshin Construction's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.49) | |||
| Treynor Ratio | (0.09) |
Hanshin Construction Backtested Returns
Hanshin Construction holds Efficiency (Sharpe) Ratio of -0.0171, which attests that the entity had a -0.0171% return per unit of risk over the last 3 months. Hanshin Construction exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Hanshin Construction's Risk Adjusted Performance of (0.01), standard deviation of 2.37, and Market Risk Adjusted Performance of (0.08) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.55, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Hanshin Construction's returns are expected to increase less than the market. However, during the bear market, the loss of holding Hanshin Construction is expected to be smaller as well. At this point, Hanshin Construction has a negative expected return of -0.0405%. Please make sure to check out Hanshin Construction's coefficient of variation, jensen alpha, treynor ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Hanshin Construction performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.2 |
Insignificant reverse predictability
Hanshin Construction Co has insignificant reverse predictability. Overlapping area represents the amount of predictability between Hanshin Construction time series from 3rd of September 2024 to 18th of October 2024 and 18th of October 2024 to 2nd 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 Hanshin Construction price movement. The serial correlation of -0.2 indicates that over 20.0% of current Hanshin Construction price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.2 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 27.2 K |
Hanshin Construction lagged returns against current returns
Autocorrelation, which is Hanshin Construction 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 Hanshin Construction's stock expected returns. We can calculate the autocorrelation of Hanshin Construction returns to help us make a trade decision. For example, suppose you find that Hanshin Construction 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 |
Hanshin Construction 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 Hanshin Construction stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hanshin Construction stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hanshin Construction stock over time.
Current vs Lagged Prices |
| Timeline |
Hanshin Construction Lagged Returns
When evaluating Hanshin Construction's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hanshin Construction stock have on its future price. Hanshin Construction 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, Hanshin Construction autocorrelation shows the relationship between Hanshin Construction stock current value and its past values and can show if there is a momentum factor associated with investing in Hanshin Construction Co.
Regressed Prices |
| Timeline |
Pair Trading with Hanshin Construction
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 Hanshin Construction 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 Hanshin Construction will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Hanshin Construction could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Hanshin Construction 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 Hanshin Construction - 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 Hanshin Construction Co to buy it.
The correlation of Hanshin Construction 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 Hanshin Construction moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Hanshin Construction 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 Hanshin Construction 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 Hanshin Stock
Hanshin Construction financial ratios help investors to determine whether Hanshin 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 Hanshin with respect to the benefits of owning Hanshin Construction security.