Drb Industrial (Korea) Market Value
| 163560 Stock | 7,640 310.00 4.23% |
| Symbol | Drb |
Drb Industrial '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 Drb Industrial'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 Drb Industrial.
| 12/24/2024 |
| 01/23/2025 |
If you would invest 0.00 in Drb Industrial on December 24, 2024 and sell it all today you would earn a total of 0.00 from holding Drb Industrial or generate 0.0% return on investment in Drb Industrial over 30 days.
Drb Industrial 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 Drb Industrial'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 Drb Industrial upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.58 | |||
| Information Ratio | 0.0256 | |||
| Maximum Drawdown | 15.14 | |||
| Value At Risk | (3.97) | |||
| Potential Upside | 4.23 |
Drb Industrial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Drb Industrial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Drb Industrial's standard deviation. In reality, there are many statistical measures that can use Drb Industrial historical prices to predict the future Drb Industrial's volatility.| Risk Adjusted Performance | 0.0394 | |||
| Jensen Alpha | 0.09 | |||
| Total Risk Alpha | 0.0133 | |||
| Sortino Ratio | 0.0272 | |||
| Treynor Ratio | 0.4453 |
Drb Industrial Backtested Returns
At this point, Drb Industrial is very steady. Drb Industrial secures Sharpe Ratio (or Efficiency) of 0.0403, which denotes the company had a 0.0403 % return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for Drb Industrial, which you can use to evaluate the volatility of the firm. Please confirm Drb Industrial's Mean Deviation of 1.97, semi deviation of 2.43, and Downside Deviation of 2.58 to check if the risk estimate we provide is consistent with the expected return of 0.11%. Drb Industrial has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.21, which means not very significant fluctuations relative to the market. As returns on the market increase, Drb Industrial's returns are expected to increase less than the market. However, during the bear market, the loss of holding Drb Industrial is expected to be smaller as well. Drb Industrial right now shows a risk of 2.8%. Please confirm Drb Industrial semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to decide if Drb Industrial will be following its price patterns.
Auto-correlation | -0.01 |
Very weak reverse predictability
Drb Industrial has very weak reverse predictability. Overlapping area represents the amount of predictability between Drb Industrial time series from 24th of December 2024 to 8th of January 2025 and 8th of January 2025 to 23rd of January 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 Drb Industrial price movement. The serial correlation of -0.01 indicates that just 1.0% of current Drb Industrial price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.01 | |
| Spearman Rank Test | 0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 5906.17 |
Drb Industrial lagged returns against current returns
Autocorrelation, which is Drb Industrial 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 Drb Industrial's stock expected returns. We can calculate the autocorrelation of Drb Industrial returns to help us make a trade decision. For example, suppose you find that Drb Industrial 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 |
Drb Industrial 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 Drb Industrial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Drb Industrial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Drb Industrial stock over time.
Current vs Lagged Prices |
| Timeline |
Drb Industrial Lagged Returns
When evaluating Drb Industrial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Drb Industrial stock have on its future price. Drb Industrial 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, Drb Industrial autocorrelation shows the relationship between Drb Industrial stock current value and its past values and can show if there is a momentum factor associated with investing in Drb Industrial.
Regressed Prices |
| Timeline |
Pair Trading with Drb Industrial
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 Drb Industrial 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 Drb Industrial will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Drb Industrial could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Drb Industrial 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 Drb Industrial - 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 Drb Industrial to buy it.
The correlation of Drb Industrial 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 Drb Industrial moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Drb Industrial 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 Drb Industrial 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.