Samsung SDI (Korea) Market Value
| 006405 Stock | 142,800 3,900 2.66% |
| Symbol | Samsung |
Samsung SDI '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 SDI'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 Samsung SDI.
| 11/05/2024 |
| 01/04/2025 |
If you would invest 0.00 in Samsung SDI on November 5, 2024 and sell it all today you would earn a total of 0.00 from holding Samsung SDI Co or generate 0.0% return on investment in Samsung SDI over 60 days.
Samsung SDI 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 SDI'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 Samsung SDI Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.30) | |||
| Maximum Drawdown | 11.55 | |||
| Value At Risk | (4.74) | |||
| Potential Upside | 2.97 |
Samsung SDI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samsung SDI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samsung SDI's standard deviation. In reality, there are many statistical measures that can use Samsung SDI historical prices to predict the future Samsung SDI's volatility.| Risk Adjusted Performance | (0.23) | |||
| Jensen Alpha | (0.70) | |||
| Total Risk Alpha | (0.73) | |||
| Treynor Ratio | (20.26) |
Samsung SDI Backtested Returns
Samsung SDI owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.29, which indicates the firm had a -0.29% return per unit of risk over the last 3 months. Samsung SDI Co exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Samsung SDI's Variance of 5.43, risk adjusted performance of (0.23), and Coefficient Of Variation of (340.17) to confirm the risk estimate we provide. The entity has a beta of 0.0343, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Samsung SDI's returns are expected to increase less than the market. However, during the bear market, the loss of holding Samsung SDI is expected to be smaller as well. At this point, Samsung SDI has a negative expected return of -0.69%. Please make sure to validate Samsung SDI's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Samsung SDI performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.16 |
Insignificant reverse predictability
Samsung SDI Co has insignificant reverse predictability. Overlapping area represents the amount of predictability between Samsung SDI time series from 5th of November 2024 to 5th of December 2024 and 5th of December 2024 to 4th of January 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 SDI price movement. The serial correlation of -0.16 indicates that over 16.0% of current Samsung SDI price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.16 | |
| Spearman Rank Test | 0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 15.4 M |
Samsung SDI lagged returns against current returns
Autocorrelation, which is Samsung SDI 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 SDI's stock expected returns. We can calculate the autocorrelation of Samsung SDI returns to help us make a trade decision. For example, suppose you find that Samsung SDI 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 SDI 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 SDI stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samsung SDI stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samsung SDI stock over time.
Current vs Lagged Prices |
| Timeline |
Samsung SDI Lagged Returns
When evaluating Samsung SDI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samsung SDI stock have on its future price. Samsung SDI 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 SDI autocorrelation shows the relationship between Samsung SDI stock current value and its past values and can show if there is a momentum factor associated with investing in Samsung SDI Co.
Regressed Prices |
| Timeline |
Pair Trading with Samsung SDI
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 SDI 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 SDI will appreciate offsetting losses from the drop in the long position's value.Moving together with Samsung Stock
| 0.8 | 005935 | Samsung Electronics | PairCorr |
| 0.85 | 005930 | Samsung Electronics | PairCorr |
| 0.63 | 000660 | SK Hynix | PairCorr |
| 0.78 | 207940 | Samsung Biologics | PairCorr |
The ability to find closely correlated positions to Samsung SDI 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 SDI 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 SDI - 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 SDI Co to buy it.
The correlation of Samsung SDI 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 SDI moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Samsung SDI 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 SDI 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.