Busan Ind (Korea) Market Value
| 011390 Stock | 61,400 2,300 3.61% |
| Symbol | Busan |
Busan Ind '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 Busan Ind'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 Busan Ind.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in Busan Ind on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding Busan Ind or generate 0.0% return on investment in Busan Ind over 540 days.
Busan Ind 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 Busan Ind'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 Busan Ind upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.52 | |||
| Information Ratio | 0.0459 | |||
| Maximum Drawdown | 24.98 | |||
| Value At Risk | (4.82) | |||
| Potential Upside | 5.62 |
Busan Ind Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Busan Ind's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Busan Ind's standard deviation. In reality, there are many statistical measures that can use Busan Ind historical prices to predict the future Busan Ind's volatility.| Risk Adjusted Performance | 0.0619 | |||
| Jensen Alpha | 0.2874 | |||
| Total Risk Alpha | (0.44) | |||
| Sortino Ratio | 0.0687 | |||
| Treynor Ratio | 0.5919 |
Busan Ind Backtested Returns
Busan Ind appears to be very steady, given 3 months investment horizon. Busan Ind secures Sharpe Ratio (or Efficiency) of 0.0762, which signifies that the company had a 0.0762% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Busan Ind, which you can use to evaluate the volatility of the firm. Please makes use of Busan Ind's Mean Deviation of 2.71, downside deviation of 3.52, and Risk Adjusted Performance of 0.0619 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Busan Ind holds a performance score of 6. The firm shows a Beta (market volatility) of 0.6, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Busan Ind's returns are expected to increase less than the market. However, during the bear market, the loss of holding Busan Ind is expected to be smaller as well. Please check Busan Ind's jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to make a quick decision on whether Busan Ind's price patterns will revert.
Auto-correlation | -0.03 |
Very weak reverse predictability
Busan Ind has very weak reverse predictability. Overlapping area represents the amount of predictability between Busan Ind time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th of November 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 Busan Ind price movement. The serial correlation of -0.03 indicates that only 3.0% of current Busan Ind price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 16.6 M |
Busan Ind lagged returns against current returns
Autocorrelation, which is Busan Ind 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 Busan Ind's stock expected returns. We can calculate the autocorrelation of Busan Ind returns to help us make a trade decision. For example, suppose you find that Busan Ind 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 |
Busan Ind 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 Busan Ind stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Busan Ind stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Busan Ind stock over time.
Current vs Lagged Prices |
| Timeline |
Busan Ind Lagged Returns
When evaluating Busan Ind's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Busan Ind stock have on its future price. Busan Ind 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, Busan Ind autocorrelation shows the relationship between Busan Ind stock current value and its past values and can show if there is a momentum factor associated with investing in Busan Ind.
Regressed Prices |
| Timeline |
Pair Trading with Busan Ind
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 Busan Ind 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 Busan Ind will appreciate offsetting losses from the drop in the long position's value.Moving against Busan Stock
| 0.7 | 006400 | Samsung SDI | PairCorr |
| 0.62 | 005385 | Hyundai Motor | PairCorr |
| 0.56 | 005387 | Hyundai Motor | PairCorr |
| 0.54 | 051910 | LG Chemicals | PairCorr |
| 0.44 | 005935 | Samsung Electronics | PairCorr |
The ability to find closely correlated positions to Busan Ind could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Busan Ind 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 Busan Ind - 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 Busan Ind to buy it.
The correlation of Busan Ind 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 Busan Ind moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Busan Ind 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 Busan Ind 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.