489570 (Korea) Market Value
| 489570 Etf | 10,080 10.00 0.1% |
| Symbol | 489570 |
489570 '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 489570'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 489570.
| 11/23/2024 |
| 12/23/2024 |
If you would invest 0.00 in 489570 on November 23, 2024 and sell it all today you would earn a total of 0.00 from holding 489570 or generate 0.0% return on investment in 489570 over 30 days.
489570 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 489570'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 489570 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.0995 | |||
| Information Ratio | (0.24) | |||
| Maximum Drawdown | 0.3484 | |||
| Value At Risk | (0.1) | |||
| Potential Upside | 0.0995 |
489570 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 489570's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 489570's standard deviation. In reality, there are many statistical measures that can use 489570 historical prices to predict the future 489570's volatility.| Risk Adjusted Performance | 0.0721 | |||
| Jensen Alpha | 0.005 | |||
| Total Risk Alpha | 0.0035 | |||
| Sortino Ratio | (0.17) | |||
| Treynor Ratio | 0.2306 |
489570 Backtested Returns
At this point, 489570 is very steady. 489570 retains Efficiency (Sharpe Ratio) of 0.22, which signifies that the etf had a 0.22% return per unit of price deviation over the last 3 months. We have found twenty-eight technical indicators for 489570, which you can use to evaluate the volatility of the entity. Please confirm 489570's Market Risk Adjusted Performance of 0.2406, standard deviation of 0.0703, and Variance of 0.0049 to double-check if the risk estimate we provide is consistent with the expected return of 0.0152%. The entity owns a Beta (Systematic Risk) of 0.0239, which signifies not very significant fluctuations relative to the market. As returns on the market increase, 489570's returns are expected to increase less than the market. However, during the bear market, the loss of holding 489570 is expected to be smaller as well.
Auto-correlation | 0.51 |
Modest predictability
489570 has modest predictability. Overlapping area represents the amount of predictability between 489570 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 489570 price movement. The serial correlation of 0.51 indicates that about 51.0% of current 489570 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.51 | |
| Spearman Rank Test | 0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 30.0 |
489570 lagged returns against current returns
Autocorrelation, which is 489570 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 489570's etf expected returns. We can calculate the autocorrelation of 489570 returns to help us make a trade decision. For example, suppose you find that 489570 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 |
489570 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 489570 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 489570 etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 489570 etf over time.
Current vs Lagged Prices |
| Timeline |
489570 Lagged Returns
When evaluating 489570's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 489570 etf have on its future price. 489570 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, 489570 autocorrelation shows the relationship between 489570 etf current value and its past values and can show if there is a momentum factor associated with investing in 489570.
Regressed Prices |
| Timeline |
Pair Trading with 489570
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 489570 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 489570 will appreciate offsetting losses from the drop in the long position's value.Moving against 489570 Etf
The ability to find closely correlated positions to 489570 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace 489570 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 489570 - 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 489570 to buy it.
The correlation of 489570 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 489570 moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if 489570 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 489570 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.