KEPCO Engineering (Korea) Market Value
| 052690 Stock | 51,000 1,200 2.41% |
| Symbol | KEPCO |
KEPCO Engineering '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 KEPCO Engineering'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 KEPCO Engineering.
| 12/23/2022 |
| 12/12/2024 |
If you would invest 0.00 in KEPCO Engineering on December 23, 2022 and sell it all today you would earn a total of 0.00 from holding KEPCO Engineering Construction or generate 0.0% return on investment in KEPCO Engineering over 720 days. KEPCO Engineering is related to or competes with Hyundai Engineering, Camus Engineering, Busan Industrial, Sam Chun, Humax, and Finebesteel. More
KEPCO Engineering 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 KEPCO Engineering'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 KEPCO Engineering Construction upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 21.42 | |||
| Value At Risk | (6.04) | |||
| Potential Upside | 3.49 |
KEPCO Engineering Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for KEPCO Engineering's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as KEPCO Engineering's standard deviation. In reality, there are many statistical measures that can use KEPCO Engineering historical prices to predict the future KEPCO Engineering's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.42) | |||
| Total Risk Alpha | (0.87) | |||
| Treynor Ratio | (0.95) |
KEPCO Engineering Backtested Returns
KEPCO Engineering has Sharpe Ratio of -0.17, which conveys that the firm had a -0.17% return per unit of volatility over the last 3 months. KEPCO Engineering exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify KEPCO Engineering's mean deviation of 2.01, and Risk Adjusted Performance of (0.08) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.4, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, KEPCO Engineering's returns are expected to increase less than the market. However, during the bear market, the loss of holding KEPCO Engineering is expected to be smaller as well. At this point, KEPCO Engineering has a negative expected return of -0.53%. Please make sure to verify KEPCO Engineering's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if KEPCO Engineering performance from the past will be repeated in the future.
Auto-correlation | 0.04 |
Virtually no predictability
KEPCO Engineering Construction has virtually no predictability. Overlapping area represents the amount of predictability between KEPCO Engineering time series from 23rd of December 2022 to 18th of December 2023 and 18th of December 2023 to 12th 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 KEPCO Engineering price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current KEPCO Engineering price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | -0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 20.4 M |
KEPCO Engineering lagged returns against current returns
Autocorrelation, which is KEPCO Engineering 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 KEPCO Engineering's stock expected returns. We can calculate the autocorrelation of KEPCO Engineering returns to help us make a trade decision. For example, suppose you find that KEPCO Engineering 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 |
KEPCO Engineering 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 KEPCO Engineering stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if KEPCO Engineering stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in KEPCO Engineering stock over time.
Current vs Lagged Prices |
| Timeline |
KEPCO Engineering Lagged Returns
When evaluating KEPCO Engineering's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of KEPCO Engineering stock have on its future price. KEPCO Engineering 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, KEPCO Engineering autocorrelation shows the relationship between KEPCO Engineering stock current value and its past values and can show if there is a momentum factor associated with investing in KEPCO Engineering Construction.
Regressed Prices |
| Timeline |
Pair Trading with KEPCO Engineering
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 KEPCO Engineering 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 KEPCO Engineering will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to KEPCO Engineering could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace KEPCO Engineering 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 KEPCO Engineering - 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 KEPCO Engineering Construction to buy it.
The correlation of KEPCO Engineering 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 KEPCO Engineering moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if KEPCO Engineering 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 KEPCO Engineering 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 KEPCO Stock
KEPCO Engineering financial ratios help investors to determine whether KEPCO 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 KEPCO with respect to the benefits of owning KEPCO Engineering security.