Shinhan WTI (Korea) Market Value
| 500015 Stock | 7,225 40.00 0.55% |
| Symbol | Shinhan |
Shinhan WTI '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 Shinhan WTI'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 Shinhan WTI.
| 12/17/2024 |
| 03/17/2025 |
If you would invest 0.00 in Shinhan WTI on December 17, 2024 and sell it all today you would earn a total of 0.00 from holding Shinhan WTI Futures or generate 0.0% return on investment in Shinhan WTI over 90 days.
Shinhan WTI 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 Shinhan WTI'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 Shinhan WTI Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.49 | |||
| Information Ratio | 0.0852 | |||
| Maximum Drawdown | 8.25 | |||
| Value At Risk | (2.75) | |||
| Potential Upside | 2.01 |
Shinhan WTI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shinhan WTI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shinhan WTI's standard deviation. In reality, there are many statistical measures that can use Shinhan WTI historical prices to predict the future Shinhan WTI's volatility.| Risk Adjusted Performance | 0.0223 | |||
| Jensen Alpha | 0.0072 | |||
| Total Risk Alpha | 0.2136 | |||
| Sortino Ratio | 0.0879 | |||
| Treynor Ratio | (0.16) |
Shinhan WTI Futures Backtested Returns
Shinhan WTI Futures owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0199, which indicates the firm had a -0.0199 % return per unit of risk over the last 3 months. Shinhan WTI Futures exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Shinhan WTI's Coefficient Of Variation of 4849.53, semi deviation of 1.45, and Risk Adjusted Performance of 0.0223 to confirm the risk estimate we provide. The entity has a beta of -0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Shinhan WTI are expected to decrease at a much lower rate. During the bear market, Shinhan WTI is likely to outperform the market. At this point, Shinhan WTI Futures has a negative expected return of -0.0305%. Please make sure to validate Shinhan WTI's downside deviation, standard deviation, and the relationship between the semi deviation and coefficient of variation , to decide if Shinhan WTI Futures performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.61 |
Very good reverse predictability
Shinhan WTI Futures has very good reverse predictability. Overlapping area represents the amount of predictability between Shinhan WTI time series from 17th of December 2024 to 31st of January 2025 and 31st of January 2025 to 17th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Shinhan WTI Futures price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current Shinhan WTI price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.61 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 51.1 K |
Shinhan WTI Futures lagged returns against current returns
Autocorrelation, which is Shinhan WTI 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 Shinhan WTI's stock expected returns. We can calculate the autocorrelation of Shinhan WTI returns to help us make a trade decision. For example, suppose you find that Shinhan WTI 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 |
Shinhan WTI 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 Shinhan WTI stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shinhan WTI stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shinhan WTI stock over time.
Current vs Lagged Prices |
| Timeline |
Shinhan WTI Lagged Returns
When evaluating Shinhan WTI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shinhan WTI stock have on its future price. Shinhan WTI 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, Shinhan WTI autocorrelation shows the relationship between Shinhan WTI stock current value and its past values and can show if there is a momentum factor associated with investing in Shinhan WTI Futures.
Regressed Prices |
| Timeline |
Pair Trading with Shinhan WTI
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 Shinhan WTI 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 Shinhan WTI will appreciate offsetting losses from the drop in the long position's value.Moving together with Shinhan Stock
The ability to find closely correlated positions to Shinhan WTI could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Shinhan WTI 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 Shinhan WTI - 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 Shinhan WTI Futures to buy it.
The correlation of Shinhan WTI 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 Shinhan WTI moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Shinhan WTI Futures 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 Shinhan WTI 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.