456680 (Korea) Market Value
| 456680 Etf | 6,085 115.00 1.85% |
| Symbol | 456680 |
456680 '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 456680's etf 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 456680.
| 04/27/2024 |
| 12/23/2024 |
If you would invest 0.00 in 456680 on April 27, 2024 and sell it all today you would earn a total of 0.00 from holding 456680 or generate 0.0% return on investment in 456680 over 240 days.
456680 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 456680's etf 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 456680 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.19 | |||
| Information Ratio | 0.1847 | |||
| Maximum Drawdown | 30.63 | |||
| Value At Risk | (5.69) | |||
| Potential Upside | 8.5 |
456680 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 456680's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 456680's standard deviation. In reality, there are many statistical measures that can use 456680 historical prices to predict the future 456680's volatility.| Risk Adjusted Performance | 0.1598 | |||
| Jensen Alpha | 0.9632 | |||
| Total Risk Alpha | 0.8193 | |||
| Sortino Ratio | 0.2241 | |||
| Treynor Ratio | (15.44) |
456680 Backtested Returns
456680 appears to be very steady, given 3 months investment horizon. 456680 retains Efficiency (Sharpe Ratio) of 0.18, which signifies that the etf had a 0.18% return per unit of price deviation over the last 3 months. By evaluating 456680's technical indicators, you can evaluate if the expected return of 0.93% is justified by implied risk. Please makes use of 456680's Market Risk Adjusted Performance of (15.43), standard deviation of 5.09, and Coefficient Of Variation of 523.47 to double-check if our risk estimates are consistent with your expectations. The entity owns a Beta (Systematic Risk) of -0.0623, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning 456680 are expected to decrease at a much lower rate. During the bear market, 456680 is likely to outperform the market.
Auto-correlation | -0.75 |
Almost perfect reverse predictability
456680 has almost perfect reverse predictability. Overlapping area represents the amount of predictability between 456680 time series from 27th of April 2024 to 25th of August 2024 and 25th of August 2024 to 23rd 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 456680 price movement. The serial correlation of -0.75 indicates that around 75.0% of current 456680 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.75 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 1.4 M |
456680 lagged returns against current returns
Autocorrelation, which is 456680 etf'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 456680's etf expected returns. We can calculate the autocorrelation of 456680 returns to help us make a trade decision. For example, suppose you find that 456680 has exhibited high autocorrelation historically, and you observe that the etf 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 |
456680 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 456680 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 456680 etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 456680 etf over time.
Current vs Lagged Prices |
| Timeline |
456680 Lagged Returns
When evaluating 456680's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 456680 etf have on its future price. 456680 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, 456680 autocorrelation shows the relationship between 456680 etf current value and its past values and can show if there is a momentum factor associated with investing in 456680.
Regressed Prices |
| Timeline |
Pair Trading with 456680
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 456680 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 456680 will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to 456680 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace 456680 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 456680 - 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 456680 to buy it.
The correlation of 456680 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 456680 moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if 456680 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 456680 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.