Celltrion Pharm (Korea) Market Value
| 068760 Stock | KRW 59,800 1,300 2.13% |
| Symbol | Celltrion |
Celltrion Pharm '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 Celltrion Pharm'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 Celltrion Pharm.
| 06/24/2024 |
| 12/21/2024 |
If you would invest 0.00 in Celltrion Pharm on June 24, 2024 and sell it all today you would earn a total of 0.00 from holding Celltrion Pharm or generate 0.0% return on investment in Celltrion Pharm over 180 days. Celltrion Pharm is related to or competes with DIO, Medy Tox, InBody CoLtd, and Soulbrain Holdings. Celltrion Pharm, Inc., a pharmaceutical company, develops and sells biosimilars and over-the-counter drugs in South Kore... More
Celltrion Pharm 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 Celltrion Pharm'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 Celltrion Pharm upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 16.29 | |||
| Value At Risk | (5.48) | |||
| Potential Upside | 4.59 |
Celltrion Pharm Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Celltrion Pharm's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Celltrion Pharm's standard deviation. In reality, there are many statistical measures that can use Celltrion Pharm historical prices to predict the future Celltrion Pharm's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.23) | |||
| Treynor Ratio | 0.2395 |
Celltrion Pharm Backtested Returns
Celltrion Pharm secures Sharpe Ratio (or Efficiency) of -0.075, which signifies that the company had a -0.075% return per unit of risk over the last 3 months. Celltrion Pharm exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Celltrion Pharm's Standard Deviation of 2.94, risk adjusted performance of (0.03), and Mean Deviation of 2.08 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.63, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Celltrion Pharm are expected to decrease at a much lower rate. During the bear market, Celltrion Pharm is likely to outperform the market. At this point, Celltrion Pharm has a negative expected return of -0.23%. Please make sure to confirm Celltrion Pharm's coefficient of variation, jensen alpha, treynor ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Celltrion Pharm performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.74 |
Good predictability
Celltrion Pharm has good predictability. Overlapping area represents the amount of predictability between Celltrion Pharm time series from 24th of June 2024 to 22nd of September 2024 and 22nd of September 2024 to 21st 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 Celltrion Pharm price movement. The serial correlation of 0.74 indicates that around 74.0% of current Celltrion Pharm price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 34.2 M |
Celltrion Pharm lagged returns against current returns
Autocorrelation, which is Celltrion Pharm 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 Celltrion Pharm's stock expected returns. We can calculate the autocorrelation of Celltrion Pharm returns to help us make a trade decision. For example, suppose you find that Celltrion Pharm 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 |
Celltrion Pharm 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 Celltrion Pharm stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Celltrion Pharm stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Celltrion Pharm stock over time.
Current vs Lagged Prices |
| Timeline |
Celltrion Pharm Lagged Returns
When evaluating Celltrion Pharm's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Celltrion Pharm stock have on its future price. Celltrion Pharm 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, Celltrion Pharm autocorrelation shows the relationship between Celltrion Pharm stock current value and its past values and can show if there is a momentum factor associated with investing in Celltrion Pharm.
Regressed Prices |
| Timeline |
Pair Trading with Celltrion Pharm
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 Celltrion Pharm 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 Celltrion Pharm will appreciate offsetting losses from the drop in the long position's value.Moving together with Celltrion Stock
Moving against Celltrion Stock
| 0.84 | 122870 | YG Entertainment | PairCorr |
| 0.8 | 041510 | SM Entertainment | PairCorr |
| 0.75 | 003535 | Hanwha InvestmentSecuri | PairCorr |
| 0.74 | 012330 | Hyundai Mobis | PairCorr |
| 0.67 | 032640 | LG Uplus | PairCorr |
The ability to find closely correlated positions to Celltrion Pharm could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Celltrion Pharm 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 Celltrion Pharm - 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 Celltrion Pharm to buy it.
The correlation of Celltrion Pharm 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 Celltrion Pharm moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Celltrion Pharm 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 Celltrion Pharm 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 Celltrion Stock
Celltrion Pharm financial ratios help investors to determine whether Celltrion 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 Celltrion with respect to the benefits of owning Celltrion Pharm security.