487950 (Korea) Market Value
| 487950 Etf | 9,405 55.00 0.58% |
| Symbol | 487950 |
487950 '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 487950'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 487950.
| 01/03/2023 |
| 12/23/2024 |
If you would invest 0.00 in 487950 on January 3, 2023 and sell it all today you would earn a total of 0.00 from holding 487950 or generate 0.0% return on investment in 487950 over 720 days.
487950 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 487950'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 487950 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.47 | |||
| Information Ratio | 0.0135 | |||
| Maximum Drawdown | 16.59 | |||
| Value At Risk | (1.38) | |||
| Potential Upside | 1.25 |
487950 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 487950's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 487950's standard deviation. In reality, there are many statistical measures that can use 487950 historical prices to predict the future 487950's volatility.| Risk Adjusted Performance | 0.0313 | |||
| Jensen Alpha | 0.0418 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | 0.0152 | |||
| Treynor Ratio | 0.3654 |
487950 Backtested Returns
At this point, 487950 is very steady. 487950 retains Efficiency (Sharpe Ratio) of 0.0349, which signifies that the etf had a 0.0349% return per unit of price deviation over the last 3 months. We have found twenty-nine technical indicators for 487950, which you can use to evaluate the volatility of the entity. Please confirm 487950's Standard Deviation of 1.66, market risk adjusted performance of 0.3754, and Coefficient Of Variation of 3043.65 to double-check if the risk estimate we provide is consistent with the expected return of 0.0597%. The entity owns a Beta (Systematic Risk) of 0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, 487950's returns are expected to increase less than the market. However, during the bear market, the loss of holding 487950 is expected to be smaller as well.
Auto-correlation | 0.00 |
No correlation between past and present
487950 has no correlation between past and present. Overlapping area represents the amount of predictability between 487950 time series from 3rd of January 2023 to 29th of December 2023 and 29th of December 2023 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 487950 price movement. The serial correlation of 0.0 indicates that just 0.0% of current 487950 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
487950 lagged returns against current returns
Autocorrelation, which is 487950 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 487950's etf expected returns. We can calculate the autocorrelation of 487950 returns to help us make a trade decision. For example, suppose you find that 487950 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 |
487950 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 487950 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 487950 etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 487950 etf over time.
Current vs Lagged Prices |
| Timeline |
487950 Lagged Returns
When evaluating 487950's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 487950 etf have on its future price. 487950 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, 487950 autocorrelation shows the relationship between 487950 etf current value and its past values and can show if there is a momentum factor associated with investing in 487950.
Regressed Prices |
| Timeline |
Pair Trading with 487950
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 487950 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 487950 will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to 487950 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace 487950 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 487950 - 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 487950 to buy it.
The correlation of 487950 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 487950 moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if 487950 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 487950 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.