Doosan Fuel (Korea) Market Value
| 33626K Stock | 4,800 170.00 3.42% |
| Symbol | Doosan |
Doosan Fuel '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 Fuel'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 Fuel.
| 11/05/2024 |
| 01/04/2025 |
If you would invest 0.00 in Doosan Fuel on November 5, 2024 and sell it all today you would earn a total of 0.00 from holding Doosan Fuel Cell or generate 0.0% return on investment in Doosan Fuel over 60 days.
Doosan Fuel 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 Fuel'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 Fuel Cell upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 12.92 | |||
| Value At Risk | (4.40) | |||
| Potential Upside | 3.7 |
Doosan Fuel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Doosan Fuel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Doosan Fuel's standard deviation. In reality, there are many statistical measures that can use Doosan Fuel historical prices to predict the future Doosan Fuel's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.24) | |||
| Treynor Ratio | (1.67) |
Doosan Fuel Cell Backtested Returns
Doosan Fuel Cell secures Sharpe Ratio (or Efficiency) of -0.0879, which denotes the company had a -0.0879% return per unit of risk over the last 3 months. Doosan Fuel Cell exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Doosan Fuel's Variance of 5.88, standard deviation of 2.42, and Mean Deviation of 1.71 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.12, which means not very significant fluctuations relative to the market. As returns on the market increase, Doosan Fuel's returns are expected to increase less than the market. However, during the bear market, the loss of holding Doosan Fuel is expected to be smaller as well. At this point, Doosan Fuel Cell has a negative expected return of -0.22%. Please make sure to confirm Doosan Fuel's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Doosan Fuel Cell performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.52 |
Good reverse predictability
Doosan Fuel Cell has good reverse predictability. Overlapping area represents the amount of predictability between Doosan Fuel time series from 5th of November 2024 to 5th of December 2024 and 5th of December 2024 to 4th 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 Doosan Fuel Cell price movement. The serial correlation of -0.52 indicates that about 52.0% of current Doosan Fuel price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.52 | |
| Spearman Rank Test | 0.16 | |
| Residual Average | 0.0 | |
| Price Variance | 13.6 K |
Doosan Fuel Cell lagged returns against current returns
Autocorrelation, which is Doosan Fuel 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 Fuel's stock expected returns. We can calculate the autocorrelation of Doosan Fuel returns to help us make a trade decision. For example, suppose you find that Doosan Fuel 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 Fuel 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 Fuel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Doosan Fuel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Doosan Fuel stock over time.
Current vs Lagged Prices |
| Timeline |
Doosan Fuel Lagged Returns
When evaluating Doosan Fuel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Doosan Fuel stock have on its future price. Doosan Fuel 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 Fuel autocorrelation shows the relationship between Doosan Fuel stock current value and its past values and can show if there is a momentum factor associated with investing in Doosan Fuel Cell.
Regressed Prices |
| Timeline |
Pair Trading with Doosan Fuel
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 Fuel 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 Fuel will appreciate offsetting losses from the drop in the long position's value.Moving together with Doosan Stock
| 0.62 | 005935 | Samsung Electronics | PairCorr |
| 0.72 | 005930 | Samsung Electronics | PairCorr |
| 0.76 | 207940 | Samsung Biologics | PairCorr |
The ability to find closely correlated positions to Doosan Fuel 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 Fuel 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 Fuel - 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 Fuel Cell to buy it.
The correlation of Doosan Fuel 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 Fuel moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Doosan Fuel Cell 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 Fuel 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.