475050 (Korea) Market Value
| 475050 Etf | 8,290 85.00 1.04% |
| Symbol | 475050 |
475050 '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 475050'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 475050.
| 09/25/2024 |
| 12/24/2024 |
If you would invest 0.00 in 475050 on September 25, 2024 and sell it all today you would earn a total of 0.00 from holding 475050 or generate 0.0% return on investment in 475050 over 90 days.
475050 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 475050'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 475050 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.97 | |||
| Information Ratio | 0.2063 | |||
| Maximum Drawdown | 10.58 | |||
| Value At Risk | (3.30) | |||
| Potential Upside | 4.76 |
475050 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 475050's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 475050's standard deviation. In reality, there are many statistical measures that can use 475050 historical prices to predict the future 475050's volatility.| Risk Adjusted Performance | 0.1814 | |||
| Jensen Alpha | 0.5002 | |||
| Total Risk Alpha | 0.4308 | |||
| Sortino Ratio | 0.2407 | |||
| Treynor Ratio | (5.51) |
475050 Backtested Returns
475050 appears to be very steady, given 3 months investment horizon. 475050 retains Efficiency (Sharpe Ratio) of 0.21, which signifies that the etf had a 0.21% return per unit of price deviation over the last 3 months. We have found twenty-nine technical indicators for 475050, which you can use to evaluate the volatility of the entity. Please makes use of 475050's Market Risk Adjusted Performance of (5.50), coefficient of variation of 453.14, and Standard Deviation of 2.3 to double-check if our risk estimates are consistent with your expectations. The entity owns a Beta (Systematic Risk) of -0.0904, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning 475050 are expected to decrease at a much lower rate. During the bear market, 475050 is likely to outperform the market.
Auto-correlation | 0.33 |
Below average predictability
475050 has below average predictability. Overlapping area represents the amount of predictability between 475050 time series from 25th of September 2024 to 9th of November 2024 and 9th of November 2024 to 24th 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 475050 price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current 475050 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.33 | |
| Spearman Rank Test | 0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 141.4 K |
475050 lagged returns against current returns
Autocorrelation, which is 475050 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 475050's etf expected returns. We can calculate the autocorrelation of 475050 returns to help us make a trade decision. For example, suppose you find that 475050 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 |
475050 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 475050 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 475050 etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 475050 etf over time.
Current vs Lagged Prices |
| Timeline |
475050 Lagged Returns
When evaluating 475050's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 475050 etf have on its future price. 475050 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, 475050 autocorrelation shows the relationship between 475050 etf current value and its past values and can show if there is a momentum factor associated with investing in 475050.
Regressed Prices |
| Timeline |
Pair Trading with 475050
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 475050 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 475050 will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to 475050 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace 475050 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 475050 - 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 475050 to buy it.
The correlation of 475050 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 475050 moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if 475050 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 475050 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.