479080 (Korea) Market Value
| 479080 Etf | 51,465 10.00 0.02% |
| Symbol | 479080 |
479080 '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 479080'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 479080.
| 11/23/2024 |
| 12/23/2024 |
If you would invest 0.00 in 479080 on November 23, 2024 and sell it all today you would earn a total of 0.00 from holding 479080 or generate 0.0% return on investment in 479080 over 30 days.
479080 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 479080'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 479080 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (1.89) | |||
| Maximum Drawdown | 0.0391 | |||
| Potential Upside | 0.0293 |
479080 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 479080's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 479080's standard deviation. In reality, there are many statistical measures that can use 479080 historical prices to predict the future 479080's volatility.| Risk Adjusted Performance | 0.4072 | |||
| Jensen Alpha | 0.0046 | |||
| Total Risk Alpha | 0.0044 | |||
| Treynor Ratio | 2.02 |
479080 Backtested Returns
At this point, 479080 is very steady. 479080 retains Efficiency (Sharpe Ratio) of 1.5, which signifies that the etf had a 1.5% return per unit of price deviation over the last 3 months. We have found twenty-three technical indicators for 479080, which you can use to evaluate the volatility of the entity. Please confirm 479080's Market Risk Adjusted Performance of 2.03, variance of 1.0E-4, and Information Ratio of (1.89) to double-check if the risk estimate we provide is consistent with the expected return of 0.0142%. The entity owns a Beta (Systematic Risk) of 0.0023, which signifies not very significant fluctuations relative to the market. As returns on the market increase, 479080's returns are expected to increase less than the market. However, during the bear market, the loss of holding 479080 is expected to be smaller as well.
Auto-correlation | 0.99 |
Perfect predictability
479080 has perfect predictability. Overlapping area represents the amount of predictability between 479080 time series from 23rd of November 2024 to 8th of December 2024 and 8th of December 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 479080 price movement. The serial correlation of 0.99 indicates that 99.0% of current 479080 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.99 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 450.0 |
479080 lagged returns against current returns
Autocorrelation, which is 479080 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 479080's etf expected returns. We can calculate the autocorrelation of 479080 returns to help us make a trade decision. For example, suppose you find that 479080 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 |
479080 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 479080 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 479080 etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 479080 etf over time.
Current vs Lagged Prices |
| Timeline |
479080 Lagged Returns
When evaluating 479080's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 479080 etf have on its future price. 479080 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, 479080 autocorrelation shows the relationship between 479080 etf current value and its past values and can show if there is a momentum factor associated with investing in 479080.
Regressed Prices |
| Timeline |
Pair Trading with 479080
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 479080 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 479080 will appreciate offsetting losses from the drop in the long position's value.Moving together with 479080 Etf
The ability to find closely correlated positions to 479080 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace 479080 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 479080 - 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 479080 to buy it.
The correlation of 479080 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 479080 moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if 479080 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 479080 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.