311960 (Korea) Market Value
| 311960 Stock | 4,295 295.00 7.38% |
| Symbol | 311960 |
311960 '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 311960'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 311960.
| 11/25/2024 |
| 12/25/2024 |
If you would invest 0.00 in 311960 on November 25, 2024 and sell it all today you would earn a total of 0.00 from holding 311960 or generate 0.0% return on investment in 311960 over 30 days.
311960 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 311960'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 311960 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.5 | |||
| Information Ratio | 0.0831 | |||
| Maximum Drawdown | 27.78 | |||
| Value At Risk | (9.91) | |||
| Potential Upside | 10.0 |
311960 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 311960's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 311960's standard deviation. In reality, there are many statistical measures that can use 311960 historical prices to predict the future 311960's volatility.| Risk Adjusted Performance | 0.0812 | |||
| Jensen Alpha | 0.5159 | |||
| Total Risk Alpha | 0.2645 | |||
| Sortino Ratio | 0.0876 | |||
| Treynor Ratio | 46.94 |
311960 Backtested Returns
311960 appears to be very steady, given 3 months investment horizon. 311960 retains Efficiency (Sharpe Ratio) of 0.12, which signifies that the company had a 0.12% return per unit of price deviation over the last 3 months. By evaluating 311960's technical indicators, you can evaluate if the expected return of 0.74% is justified by implied risk. Please makes use of 311960's Standard Deviation of 5.8, market risk adjusted performance of 46.95, and Coefficient Of Variation of 1101.36 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, 311960 holds a performance score of 9. The firm owns a Beta (Systematic Risk) of 0.011, which signifies not very significant fluctuations relative to the market. As returns on the market increase, 311960's returns are expected to increase less than the market. However, during the bear market, the loss of holding 311960 is expected to be smaller as well. Please check 311960's semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to make a quick decision on whether 311960's current price history will revert.
Auto-correlation | -0.03 |
Very weak reverse predictability
311960 has very weak reverse predictability. Overlapping area represents the amount of predictability between 311960 time series from 25th of November 2024 to 10th of December 2024 and 10th of December 2024 to 25th 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 311960 price movement. The serial correlation of -0.03 indicates that only 3.0% of current 311960 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | -0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 15.6 K |
311960 lagged returns against current returns
Autocorrelation, which is 311960 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 311960's stock expected returns. We can calculate the autocorrelation of 311960 returns to help us make a trade decision. For example, suppose you find that 311960 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 |
311960 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 311960 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 311960 stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 311960 stock over time.
Current vs Lagged Prices |
| Timeline |
311960 Lagged Returns
When evaluating 311960's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 311960 stock have on its future price. 311960 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, 311960 autocorrelation shows the relationship between 311960 stock current value and its past values and can show if there is a momentum factor associated with investing in 311960.
Regressed Prices |
| Timeline |
Pair Trading with 311960
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 311960 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 311960 will appreciate offsetting losses from the drop in the long position's value.Moving against 311960 Stock
| 0.87 | 005385 | Hyundai Motor | PairCorr |
| 0.85 | 005387 | Hyundai Motor | PairCorr |
| 0.81 | 006400 | Samsung SDI | PairCorr |
| 0.77 | 005930 | Samsung Electronics | PairCorr |
| 0.76 | 005935 | Samsung Electronics | PairCorr |
The ability to find closely correlated positions to 311960 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace 311960 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 311960 - 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 311960 to buy it.
The correlation of 311960 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 311960 moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if 311960 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 311960 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.