Hanwha Techwin (Korea) Market Value
| 012450 Stock | 298,000 7,000 2.41% |
| Symbol | Hanwha |
Hanwha Techwin '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 Hanwha Techwin'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 Hanwha Techwin.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Hanwha Techwin on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Hanwha Techwin Co or generate 0.0% return on investment in Hanwha Techwin over 30 days.
Hanwha Techwin 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 Hanwha Techwin'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 Hanwha Techwin Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.95 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 20.05 | |||
| Value At Risk | (6.31) | |||
| Potential Upside | 5.45 |
Hanwha Techwin Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hanwha Techwin's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hanwha Techwin's standard deviation. In reality, there are many statistical measures that can use Hanwha Techwin historical prices to predict the future Hanwha Techwin's volatility.| Risk Adjusted Performance | 0.0096 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.59) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (0) |
Hanwha Techwin Backtested Returns
Hanwha Techwin holds Efficiency (Sharpe) Ratio of -0.0104, which attests that the entity had a -0.0104% return per unit of risk over the last 3 months. Hanwha Techwin exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Hanwha Techwin's Market Risk Adjusted Performance of 0.0072, risk adjusted performance of 0.0096, and Downside Deviation of 3.95 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.64, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Hanwha Techwin's returns are expected to increase less than the market. However, during the bear market, the loss of holding Hanwha Techwin is expected to be smaller as well. At this point, Hanwha Techwin has a negative expected return of -0.0416%. Please make sure to check out Hanwha Techwin's coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Hanwha Techwin performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.55 |
Modest predictability
Hanwha Techwin Co has modest predictability. Overlapping area represents the amount of predictability between Hanwha Techwin time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th 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 Hanwha Techwin price movement. The serial correlation of 0.55 indicates that about 55.0% of current Hanwha Techwin price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 320.8 M |
Hanwha Techwin lagged returns against current returns
Autocorrelation, which is Hanwha Techwin 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 Hanwha Techwin's stock expected returns. We can calculate the autocorrelation of Hanwha Techwin returns to help us make a trade decision. For example, suppose you find that Hanwha Techwin 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 |
Hanwha Techwin 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 Hanwha Techwin stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hanwha Techwin stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hanwha Techwin stock over time.
Current vs Lagged Prices |
| Timeline |
Hanwha Techwin Lagged Returns
When evaluating Hanwha Techwin's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hanwha Techwin stock have on its future price. Hanwha Techwin 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, Hanwha Techwin autocorrelation shows the relationship between Hanwha Techwin stock current value and its past values and can show if there is a momentum factor associated with investing in Hanwha Techwin Co.
Regressed Prices |
| Timeline |
Pair Trading with Hanwha Techwin
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 Hanwha Techwin 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 Hanwha Techwin will appreciate offsetting losses from the drop in the long position's value.Moving together with Hanwha Stock
The ability to find closely correlated positions to Hanwha Techwin could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Hanwha Techwin 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 Hanwha Techwin - 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 Hanwha Techwin Co to buy it.
The correlation of Hanwha Techwin 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 Hanwha Techwin moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Hanwha Techwin 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 Hanwha Techwin 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.