Samsung Electronics (Korea) Market Value
| 005930 Stock | 56,600 600.00 1.05% |
| Symbol | Samsung |
Samsung Electronics '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 Samsung Electronics' 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 Samsung Electronics.
| 01/27/2025 |
| 02/26/2025 |
If you would invest 0.00 in Samsung Electronics on January 27, 2025 and sell it all today you would earn a total of 0.00 from holding Samsung Electronics Co or generate 0.0% return on investment in Samsung Electronics over 30 days. Samsung Electronics is related to or competes with Coloray International, Infinitt Healthcare, Korea Investment, Dongil Metal, Kukil Metal, SV Investment, and Kyeryong Construction. More
Samsung Electronics 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 Samsung Electronics' 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 Samsung Electronics Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.62 | |||
| Information Ratio | 0.0617 | |||
| Maximum Drawdown | 9.41 | |||
| Value At Risk | (2.52) | |||
| Potential Upside | 3.43 |
Samsung Electronics Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samsung Electronics' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samsung Electronics' standard deviation. In reality, there are many statistical measures that can use Samsung Electronics historical prices to predict the future Samsung Electronics' volatility.| Risk Adjusted Performance | 0.0573 | |||
| Jensen Alpha | 0.1208 | |||
| Total Risk Alpha | 0.1058 | |||
| Sortino Ratio | 0.0697 | |||
| Treynor Ratio | (0.22) |
Samsung Electronics Backtested Returns
At this point, Samsung Electronics is very steady. Samsung Electronics owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0476, which indicates the firm had a 0.0476 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Samsung Electronics Co, which you can use to evaluate the volatility of the company. Please validate Samsung Electronics' Risk Adjusted Performance of 0.0573, coefficient of variation of 1432.55, and Semi Deviation of 1.44 to confirm if the risk estimate we provide is consistent with the expected return of 0.078%. Samsung Electronics has a performance score of 3 on a scale of 0 to 100. The entity has a beta of -0.55, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Samsung Electronics are expected to decrease at a much lower rate. During the bear market, Samsung Electronics is likely to outperform the market. Samsung Electronics right now has a risk of 1.64%. Please validate Samsung Electronics semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to decide if Samsung Electronics will be following its existing price patterns.
Auto-correlation | 0.88 |
Very good predictability
Samsung Electronics Co has very good predictability. Overlapping area represents the amount of predictability between Samsung Electronics time series from 27th of January 2025 to 11th of February 2025 and 11th of February 2025 to 26th of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Samsung Electronics price movement. The serial correlation of 0.88 indicates that approximately 88.0% of current Samsung Electronics price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.93 | |
| Residual Average | 0.0 | |
| Price Variance | 1.3 M |
Samsung Electronics lagged returns against current returns
Autocorrelation, which is Samsung Electronics 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 Samsung Electronics' stock expected returns. We can calculate the autocorrelation of Samsung Electronics returns to help us make a trade decision. For example, suppose you find that Samsung Electronics 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 |
Samsung Electronics 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 Samsung Electronics stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samsung Electronics stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samsung Electronics stock over time.
Current vs Lagged Prices |
| Timeline |
Samsung Electronics Lagged Returns
When evaluating Samsung Electronics' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samsung Electronics stock have on its future price. Samsung Electronics 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, Samsung Electronics autocorrelation shows the relationship between Samsung Electronics stock current value and its past values and can show if there is a momentum factor associated with investing in Samsung Electronics Co.
Regressed Prices |
| Timeline |
Pair Trading with Samsung Electronics
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 Samsung Electronics 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 Samsung Electronics will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Samsung Electronics could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Samsung Electronics 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 Samsung Electronics - 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 Samsung Electronics Co to buy it.
The correlation of Samsung Electronics 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 Samsung Electronics moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Samsung Electronics 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 Samsung Electronics 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 Samsung Stock
Samsung Electronics financial ratios help investors to determine whether Samsung 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 Samsung with respect to the benefits of owning Samsung Electronics security.