Furonteer (Korea) Market Value
| 370090 Stock | 26,150 1,100 4.04% |
| Symbol | Furonteer |
Furonteer '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 Furonteer'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 Furonteer.
| 11/26/2024 |
| 12/26/2024 |
If you would invest 0.00 in Furonteer on November 26, 2024 and sell it all today you would earn a total of 0.00 from holding Furonteer or generate 0.0% return on investment in Furonteer over 30 days.
Furonteer 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 Furonteer'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 Furonteer upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.44 | |||
| Information Ratio | 0.0753 | |||
| Maximum Drawdown | 34.26 | |||
| Value At Risk | (8.00) | |||
| Potential Upside | 13.24 |
Furonteer Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Furonteer's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Furonteer's standard deviation. In reality, there are many statistical measures that can use Furonteer historical prices to predict the future Furonteer's volatility.| Risk Adjusted Performance | 0.0748 | |||
| Jensen Alpha | 0.4909 | |||
| Total Risk Alpha | 0.227 | |||
| Sortino Ratio | 0.1023 | |||
| Treynor Ratio | (9.19) |
Furonteer Backtested Returns
Furonteer appears to be very steady, given 3 months investment horizon. Furonteer secures Sharpe Ratio (or Efficiency) of 0.0663, which denotes the company had a 0.0663% return per unit of risk over the last 3 months. We have found thirty technical indicators for Furonteer, which you can use to evaluate the volatility of the firm. Please utilize Furonteer's Mean Deviation of 4.11, downside deviation of 4.44, and Coefficient Of Variation of 1208.85 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Furonteer holds a performance score of 5. The firm shows a Beta (market volatility) of -0.0532, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Furonteer are expected to decrease at a much lower rate. During the bear market, Furonteer is likely to outperform the market. Please check Furonteer's coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to make a quick decision on whether Furonteer's price patterns will revert.
Auto-correlation | 0.03 |
Virtually no predictability
Furonteer has virtually no predictability. Overlapping area represents the amount of predictability between Furonteer time series from 26th of November 2024 to 11th of December 2024 and 11th of December 2024 to 26th 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 Furonteer price movement. The serial correlation of 0.03 indicates that only 3.0% of current Furonteer price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.03 | |
| Spearman Rank Test | -0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 2.3 M |
Furonteer lagged returns against current returns
Autocorrelation, which is Furonteer 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 Furonteer's stock expected returns. We can calculate the autocorrelation of Furonteer returns to help us make a trade decision. For example, suppose you find that Furonteer 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 |
Furonteer 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 Furonteer stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Furonteer stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Furonteer stock over time.
Current vs Lagged Prices |
| Timeline |
Furonteer Lagged Returns
When evaluating Furonteer's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Furonteer stock have on its future price. Furonteer 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, Furonteer autocorrelation shows the relationship between Furonteer stock current value and its past values and can show if there is a momentum factor associated with investing in Furonteer.
Regressed Prices |
| Timeline |
Pair Trading with Furonteer
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 Furonteer 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 Furonteer will appreciate offsetting losses from the drop in the long position's value.Moving against Furonteer Stock
| 0.67 | 207940 | Samsung Biologics | PairCorr |
| 0.66 | 000660 | SK Hynix | PairCorr |
| 0.57 | 051915 | LG Chem | PairCorr |
| 0.56 | 051910 | LG Chemicals | PairCorr |
| 0.55 | 006400 | Samsung SDI | PairCorr |
The ability to find closely correlated positions to Furonteer could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Furonteer 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 Furonteer - 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 Furonteer to buy it.
The correlation of Furonteer 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 Furonteer moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Furonteer 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 Furonteer 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.