DONGKUK STEEL (Korea) Market Value
| 460860 Stock | 8,500 140.00 1.67% |
| Symbol | DONGKUK |
DONGKUK STEEL '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 DONGKUK STEEL'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 DONGKUK STEEL.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in DONGKUK STEEL on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding DONGKUK STEEL MILL or generate 0.0% return on investment in DONGKUK STEEL over 30 days.
DONGKUK STEEL 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 DONGKUK STEEL'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 DONGKUK STEEL MILL upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.12 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 16.43 | |||
| Value At Risk | (4.00) | |||
| Potential Upside | 3.8 |
DONGKUK STEEL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for DONGKUK STEEL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as DONGKUK STEEL's standard deviation. In reality, there are many statistical measures that can use DONGKUK STEEL historical prices to predict the future DONGKUK STEEL's volatility.| Risk Adjusted Performance | 0.0077 | |||
| Jensen Alpha | 0.0518 | |||
| Total Risk Alpha | (0.35) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0134 |
DONGKUK STEEL MILL Backtested Returns
At this point, DONGKUK STEEL is very steady. DONGKUK STEEL MILL secures Sharpe Ratio (or Efficiency) of 0.0436, which denotes the company had a 0.0436% return per unit of risk over the last 3 months. We have found thirty technical indicators for DONGKUK STEEL MILL, which you can use to evaluate the volatility of the firm. Please confirm DONGKUK STEEL's Downside Deviation of 2.12, semi deviation of 2.09, and Mean Deviation of 1.78 to check if the risk estimate we provide is consistent with the expected return of 0.11%. DONGKUK STEEL has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.58, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning DONGKUK STEEL are expected to decrease at a much lower rate. During the bear market, DONGKUK STEEL is likely to outperform the market. DONGKUK STEEL MILL currently shows a risk of 2.53%. Please confirm DONGKUK STEEL MILL standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if DONGKUK STEEL MILL will be following its price patterns.
Auto-correlation | -0.5 |
Modest reverse predictability
DONGKUK STEEL MILL has modest reverse predictability. Overlapping area represents the amount of predictability between DONGKUK STEEL time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 DONGKUK STEEL MILL price movement. The serial correlation of -0.5 indicates that about 50.0% of current DONGKUK STEEL price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.5 | |
| Spearman Rank Test | -0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 8530.56 |
DONGKUK STEEL MILL lagged returns against current returns
Autocorrelation, which is DONGKUK STEEL 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 DONGKUK STEEL's stock expected returns. We can calculate the autocorrelation of DONGKUK STEEL returns to help us make a trade decision. For example, suppose you find that DONGKUK STEEL 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 |
DONGKUK STEEL 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 DONGKUK STEEL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if DONGKUK STEEL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in DONGKUK STEEL stock over time.
Current vs Lagged Prices |
| Timeline |
DONGKUK STEEL Lagged Returns
When evaluating DONGKUK STEEL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of DONGKUK STEEL stock have on its future price. DONGKUK STEEL 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, DONGKUK STEEL autocorrelation shows the relationship between DONGKUK STEEL stock current value and its past values and can show if there is a momentum factor associated with investing in DONGKUK STEEL MILL.
Regressed Prices |
| Timeline |
Pair Trading with DONGKUK STEEL
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 DONGKUK STEEL 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 DONGKUK STEEL will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to DONGKUK STEEL could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace DONGKUK STEEL 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 DONGKUK STEEL - 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 DONGKUK STEEL MILL to buy it.
The correlation of DONGKUK STEEL 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 DONGKUK STEEL moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if DONGKUK STEEL MILL 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 DONGKUK STEEL 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.