ITM Semiconductor (Korea) Market Value
| 084850 Stock | 14,000 430.00 3.17% |
| Symbol | ITM |
ITM Semiconductor '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 ITM Semiconductor'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 ITM Semiconductor.
| 07/20/2023 |
| 12/11/2024 |
If you would invest 0.00 in ITM Semiconductor on July 20, 2023 and sell it all today you would earn a total of 0.00 from holding ITM Semiconductor Co or generate 0.0% return on investment in ITM Semiconductor over 510 days. ITM Semiconductor is related to or competes with SK Hynix, People Technology, Hana Materials, SIMMTECH, GemVaxKAEL CoLtd, and SS TECH. More
ITM Semiconductor 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 ITM Semiconductor'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 ITM Semiconductor Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 18.88 | |||
| Value At Risk | (5.10) | |||
| Potential Upside | 3.17 |
ITM Semiconductor Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ITM Semiconductor's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ITM Semiconductor's standard deviation. In reality, there are many statistical measures that can use ITM Semiconductor historical prices to predict the future ITM Semiconductor's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.58) | |||
| Total Risk Alpha | (0.95) | |||
| Treynor Ratio | (0.87) |
ITM Semiconductor Backtested Returns
ITM Semiconductor holds Efficiency (Sharpe) Ratio of -0.37, which attests that the entity had a -0.37% return per unit of volatility over the last 3 months. ITM Semiconductor exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out ITM Semiconductor's market risk adjusted performance of (0.86), and Risk Adjusted Performance of (0.12) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.59, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, ITM Semiconductor's returns are expected to increase less than the market. However, during the bear market, the loss of holding ITM Semiconductor is expected to be smaller as well. At this point, ITM Semiconductor has a negative expected return of -0.84%. Please make sure to check out ITM Semiconductor's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if ITM Semiconductor performance from the past will be repeated at future time.
Auto-correlation | 0.26 |
Poor predictability
ITM Semiconductor Co has poor predictability. Overlapping area represents the amount of predictability between ITM Semiconductor time series from 20th of July 2023 to 31st of March 2024 and 31st of March 2024 to 11th 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 ITM Semiconductor price movement. The serial correlation of 0.26 indicates that nearly 26.0% of current ITM Semiconductor price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.26 | |
| Spearman Rank Test | 0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 7.7 M |
ITM Semiconductor lagged returns against current returns
Autocorrelation, which is ITM Semiconductor 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 ITM Semiconductor's stock expected returns. We can calculate the autocorrelation of ITM Semiconductor returns to help us make a trade decision. For example, suppose you find that ITM Semiconductor 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 |
ITM Semiconductor 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 ITM Semiconductor stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ITM Semiconductor stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ITM Semiconductor stock over time.
Current vs Lagged Prices |
| Timeline |
ITM Semiconductor Lagged Returns
When evaluating ITM Semiconductor's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ITM Semiconductor stock have on its future price. ITM Semiconductor 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, ITM Semiconductor autocorrelation shows the relationship between ITM Semiconductor stock current value and its past values and can show if there is a momentum factor associated with investing in ITM Semiconductor Co.
Regressed Prices |
| Timeline |
Pair Trading with ITM Semiconductor
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 ITM Semiconductor 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 ITM Semiconductor will appreciate offsetting losses from the drop in the long position's value.Moving together with ITM Stock
| 0.73 | 108320 | LX Semicon | PairCorr |
| 0.88 | 064760 | Tokai Carbon Korea | PairCorr |
| 0.68 | 137400 | People Technology | PairCorr |
| 0.84 | 166090 | Hana Materials | PairCorr |
The ability to find closely correlated positions to ITM Semiconductor could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ITM Semiconductor 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 ITM Semiconductor - 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 ITM Semiconductor Co to buy it.
The correlation of ITM Semiconductor 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 ITM Semiconductor moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ITM Semiconductor 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 ITM Semiconductor 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 ITM Stock
ITM Semiconductor financial ratios help investors to determine whether ITM 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 ITM with respect to the benefits of owning ITM Semiconductor security.