Doosan Engine (Korea) Market Value
| 082740 Stock | 23,700 300.00 1.28% |
| Symbol | Doosan |
Doosan Engine '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 Doosan Engine'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 Doosan Engine.
| 12/13/2024 |
| 03/13/2025 |
If you would invest 0.00 in Doosan Engine on December 13, 2024 and sell it all today you would earn a total of 0.00 from holding Doosan Engine Co or generate 0.0% return on investment in Doosan Engine over 90 days.
Doosan Engine 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 Doosan Engine'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 Doosan Engine Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.47 | |||
| Information Ratio | 0.2227 | |||
| Maximum Drawdown | 23.8 | |||
| Value At Risk | (4.77) | |||
| Potential Upside | 7.5 |
Doosan Engine Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Doosan Engine's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Doosan Engine's standard deviation. In reality, there are many statistical measures that can use Doosan Engine historical prices to predict the future Doosan Engine's volatility.| Risk Adjusted Performance | 0.1696 | |||
| Jensen Alpha | 0.8948 | |||
| Total Risk Alpha | 1.42 | |||
| Sortino Ratio | 0.2639 | |||
| Treynor Ratio | 0.9474 |
Doosan Engine Backtested Returns
Doosan Engine appears to be very steady, given 3 months investment horizon. Doosan Engine secures Sharpe Ratio (or Efficiency) of 0.19, which denotes the company had a 0.19 % return per unit of risk over the last 3 months. By reviewing Doosan Engine's technical indicators, you can evaluate if the expected return of 0.8% is justified by implied risk. Please utilize Doosan Engine's Mean Deviation of 3.12, downside deviation of 3.47, and Coefficient Of Variation of 514.64 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Doosan Engine holds a performance score of 15. The firm shows a Beta (market volatility) of 0.83, which means possible diversification benefits within a given portfolio. As returns on the market increase, Doosan Engine's returns are expected to increase less than the market. However, during the bear market, the loss of holding Doosan Engine is expected to be smaller as well. Please check Doosan Engine's downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to make a quick decision on whether Doosan Engine's price patterns will revert.
Auto-correlation | 0.09 |
Virtually no predictability
Doosan Engine Co has virtually no predictability. Overlapping area represents the amount of predictability between Doosan Engine time series from 13th of December 2024 to 27th of January 2025 and 27th of January 2025 to 13th of March 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 Doosan Engine price movement. The serial correlation of 0.09 indicates that less than 9.0% of current Doosan Engine price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 1.5 M |
Doosan Engine lagged returns against current returns
Autocorrelation, which is Doosan Engine 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 Doosan Engine's stock expected returns. We can calculate the autocorrelation of Doosan Engine returns to help us make a trade decision. For example, suppose you find that Doosan Engine 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 |
Doosan Engine 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 Doosan Engine stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Doosan Engine stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Doosan Engine stock over time.
Current vs Lagged Prices |
| Timeline |
Doosan Engine Lagged Returns
When evaluating Doosan Engine's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Doosan Engine stock have on its future price. Doosan Engine 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, Doosan Engine autocorrelation shows the relationship between Doosan Engine stock current value and its past values and can show if there is a momentum factor associated with investing in Doosan Engine Co.
Regressed Prices |
| Timeline |
Pair Trading with Doosan Engine
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 Doosan Engine 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 Doosan Engine will appreciate offsetting losses from the drop in the long position's value.Moving together with Doosan Stock
Moving against Doosan Stock
The ability to find closely correlated positions to Doosan Engine could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Doosan Engine 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 Doosan Engine - 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 Doosan Engine Co to buy it.
The correlation of Doosan Engine 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 Doosan Engine moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Doosan Engine 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 Doosan Engine 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.