Humax Holdings (Korea) Market Value
| 028080 Stock | KRW 1,820 38.00 2.13% |
| Symbol | Humax |
Humax Holdings '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 Humax Holdings' 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 Humax Holdings.
| 09/12/2024 |
| 12/11/2024 |
If you would invest 0.00 in Humax Holdings on September 12, 2024 and sell it all today you would earn a total of 0.00 from holding Humax Holdings Co or generate 0.0% return on investment in Humax Holdings over 90 days. Humax Holdings is related to or competes with Korean Air, Samsung Publishing, Cloud Air, Haitai Confectionery, CJ Seafood, Sempio Foods, and Foodnamoo. Humax Holdings Co., Ltd. manufactures and sells broadcasting and wireless communication devices and automotive antennas ... More
Humax Holdings 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 Humax Holdings' 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 Humax Holdings Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 26.22 | |||
| Value At Risk | (7.10) | |||
| Potential Upside | 3.63 |
Humax Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Humax Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Humax Holdings' standard deviation. In reality, there are many statistical measures that can use Humax Holdings historical prices to predict the future Humax Holdings' volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.59) | |||
| Total Risk Alpha | (1.19) | |||
| Treynor Ratio | 2.69 |
Humax Holdings Backtested Returns
Humax Holdings holds Efficiency (Sharpe) Ratio of -0.22, which attests that the entity had a -0.22% return per unit of risk over the last 3 months. Humax Holdings exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Humax Holdings' Market Risk Adjusted Performance of 2.7, standard deviation of 3.59, and Risk Adjusted Performance of (0.11) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.23, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Humax Holdings are expected to decrease at a much lower rate. During the bear market, Humax Holdings is likely to outperform the market. At this point, Humax Holdings has a negative expected return of -0.71%. Please make sure to check out Humax Holdings' coefficient of variation, jensen alpha, treynor ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Humax Holdings performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.38 |
Poor reverse predictability
Humax Holdings Co has poor reverse predictability. Overlapping area represents the amount of predictability between Humax Holdings time series from 12th of September 2024 to 27th of October 2024 and 27th of October 2024 to 11th 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 Humax Holdings price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Humax Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 51.2 K |
Humax Holdings lagged returns against current returns
Autocorrelation, which is Humax Holdings 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 Humax Holdings' stock expected returns. We can calculate the autocorrelation of Humax Holdings returns to help us make a trade decision. For example, suppose you find that Humax Holdings 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 |
Humax Holdings 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 Humax Holdings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Humax Holdings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Humax Holdings stock over time.
Current vs Lagged Prices |
| Timeline |
Humax Holdings Lagged Returns
When evaluating Humax Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Humax Holdings stock have on its future price. Humax Holdings 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, Humax Holdings autocorrelation shows the relationship between Humax Holdings stock current value and its past values and can show if there is a momentum factor associated with investing in Humax Holdings Co.
Regressed Prices |
| Timeline |
Pair Trading with Humax Holdings
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 Humax Holdings 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 Humax Holdings will appreciate offsetting losses from the drop in the long position's value.Moving together with Humax Stock
The ability to find closely correlated positions to Humax Holdings could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Humax Holdings 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 Humax Holdings - 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 Humax Holdings Co to buy it.
The correlation of Humax Holdings 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 Humax Holdings moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Humax Holdings 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 Humax Holdings 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.Other Information on Investing in Humax Stock
Humax Holdings financial ratios help investors to determine whether Humax Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Humax with respect to the benefits of owning Humax Holdings security.