MITECH CoLtd (Korea) Market Value
| 179290 Stock | 8,150 160.00 1.93% |
| Symbol | MITECH |
MITECH CoLtd '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 MITECH CoLtd'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 MITECH CoLtd.
| 11/21/2024 |
| 12/21/2024 |
If you would invest 0.00 in MITECH CoLtd on November 21, 2024 and sell it all today you would earn a total of 0.00 from holding MITECH CoLtd or generate 0.0% return on investment in MITECH CoLtd over 30 days.
MITECH CoLtd 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 MITECH CoLtd'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 MITECH CoLtd upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.27 | |||
| Information Ratio | 0.1251 | |||
| Maximum Drawdown | 11.56 | |||
| Value At Risk | (3.21) | |||
| Potential Upside | 4.13 |
MITECH CoLtd Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MITECH CoLtd's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MITECH CoLtd's standard deviation. In reality, there are many statistical measures that can use MITECH CoLtd historical prices to predict the future MITECH CoLtd's volatility.| Risk Adjusted Performance | 0.1162 | |||
| Jensen Alpha | 0.3219 | |||
| Total Risk Alpha | 0.264 | |||
| Sortino Ratio | 0.1374 | |||
| Treynor Ratio | 0.6255 |
MITECH CoLtd Backtested Returns
At this point, MITECH CoLtd is very steady. MITECH CoLtd has Sharpe Ratio of 0.0577, which conveys that the firm had a 0.0577% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for MITECH CoLtd, which you can use to evaluate the volatility of the firm. Please verify MITECH CoLtd's Mean Deviation of 2.02, risk adjusted performance of 0.1162, and Market Risk Adjusted Performance of 0.6355 to check out if the risk estimate we provide is consistent with the expected return of 0.14%. MITECH CoLtd has a performance score of 4 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.53, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, MITECH CoLtd's returns are expected to increase less than the market. However, during the bear market, the loss of holding MITECH CoLtd is expected to be smaller as well. MITECH CoLtd currently secures a risk of 2.47%. Please verify MITECH CoLtd total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to decide if MITECH CoLtd will be following its current price movements.
Auto-correlation | 0.82 |
Very good predictability
MITECH CoLtd has very good predictability. Overlapping area represents the amount of predictability between MITECH CoLtd time series from 21st of November 2024 to 6th of December 2024 and 6th of December 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 MITECH CoLtd price movement. The serial correlation of 0.82 indicates that around 82.0% of current MITECH CoLtd price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 77.6 K |
MITECH CoLtd lagged returns against current returns
Autocorrelation, which is MITECH CoLtd 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 MITECH CoLtd's stock expected returns. We can calculate the autocorrelation of MITECH CoLtd returns to help us make a trade decision. For example, suppose you find that MITECH CoLtd 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 |
MITECH CoLtd 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 MITECH CoLtd stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MITECH CoLtd stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MITECH CoLtd stock over time.
Current vs Lagged Prices |
| Timeline |
MITECH CoLtd Lagged Returns
When evaluating MITECH CoLtd's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MITECH CoLtd stock have on its future price. MITECH CoLtd 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, MITECH CoLtd autocorrelation shows the relationship between MITECH CoLtd stock current value and its past values and can show if there is a momentum factor associated with investing in MITECH CoLtd.
Regressed Prices |
| Timeline |
Pair Trading with MITECH CoLtd
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 MITECH CoLtd 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 MITECH CoLtd will appreciate offsetting losses from the drop in the long position's value.Moving together with MITECH Stock
Moving against MITECH Stock
| 0.43 | 005935 | Samsung Electronics | PairCorr |
| 0.36 | 005930 | Samsung Electronics | PairCorr |
| 0.31 | 005385 | Hyundai Motor | PairCorr |
The ability to find closely correlated positions to MITECH CoLtd could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace MITECH CoLtd 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 MITECH CoLtd - 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 MITECH CoLtd to buy it.
The correlation of MITECH CoLtd 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 MITECH CoLtd moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if MITECH CoLtd 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 MITECH CoLtd 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.