J Steel (Korea) Market Value
| 023440 Stock | 1,790 9.00 0.50% |
| Symbol | 023440 |
J Steel '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 J Steel'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 J Steel.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in J Steel on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding J Steel Co or generate 0.0% return on investment in J Steel over 360 days.
J Steel 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 J Steel'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 J Steel Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.22 | |||
| Information Ratio | 0.0688 | |||
| Maximum Drawdown | 31.25 | |||
| Value At Risk | (4.10) | |||
| Potential Upside | 10.07 |
J Steel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for J Steel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as J Steel's standard deviation. In reality, there are many statistical measures that can use J Steel historical prices to predict the future J Steel's volatility.| Risk Adjusted Performance | 0.085 | |||
| Jensen Alpha | 0.3638 | |||
| Total Risk Alpha | (0.30) | |||
| Sortino Ratio | 0.0712 | |||
| Treynor Ratio | 0.853 |
J Steel Backtested Returns
J Steel appears to be very steady, given 3 months investment horizon. J Steel holds Efficiency (Sharpe) Ratio of 0.15, which attests that the company had a 0.15% return per unit of volatility over the last 3 months. By analyzing J Steel's technical indicators, you can evaluate if the expected return of 0.66% is justified by implied risk. Please utilize J Steel's semi deviation of 3.44, and Market Risk Adjusted Performance of 0.863 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, J Steel holds a performance score of 11. The firm retains a Market Volatility (i.e., Beta) of 0.5, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, J Steel's returns are expected to increase less than the market. However, during the bear market, the loss of holding J Steel is expected to be smaller as well. Please check J Steel's jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to make a quick decision on whether J Steel's current trending patterns will revert.
Auto-correlation | 0.36 |
Below average predictability
J Steel Co has below average predictability. Overlapping area represents the amount of predictability between J Steel 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 J Steel price movement. The serial correlation of 0.36 indicates that just about 36.0% of current J Steel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.36 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 63.3 K |
J Steel lagged returns against current returns
Autocorrelation, which is J Steel 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 J Steel's stock expected returns. We can calculate the autocorrelation of J Steel returns to help us make a trade decision. For example, suppose you find that J Steel 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 |
J Steel 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 J Steel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if J Steel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in J Steel stock over time.
Current vs Lagged Prices |
| Timeline |
J Steel Lagged Returns
When evaluating J Steel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of J Steel stock have on its future price. J Steel 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, J Steel autocorrelation shows the relationship between J Steel stock current value and its past values and can show if there is a momentum factor associated with investing in J Steel Co.
Regressed Prices |
| Timeline |
Pair Trading with J Steel
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 J Steel 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 J Steel will appreciate offsetting losses from the drop in the long position's value.Moving against 023440 Stock
| 0.8 | 005935 | Samsung Electronics | PairCorr |
| 0.79 | 005930 | Samsung Electronics | PairCorr |
| 0.78 | 006400 | Samsung SDI | PairCorr |
| 0.72 | 005385 | Hyundai Motor | PairCorr |
| 0.64 | 005387 | Hyundai Motor | PairCorr |
The ability to find closely correlated positions to J Steel could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace J Steel 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 J Steel - 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 J Steel Co to buy it.
The correlation of J Steel 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 J Steel moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if J Steel 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 J Steel 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.