SAMJIN (Korea) Market Value
| 032750 Stock | KRW 4,190 35.00 0.83% |
| Symbol | SAMJIN |
SAMJIN '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 SAMJIN'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 SAMJIN.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in SAMJIN on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding SAMJIN Co or generate 0.0% return on investment in SAMJIN over 30 days. SAMJIN is related to or competes with Korea Real, Busan Industrial, UNISEM, Finebesteel, Shinhan Inverse, Fine Besteel, and Hyundai Heavy. SAMJIN Co., Ltd. produces and sells IoT products, smart controllers, remote controllers, and speakers in South Korea and... More
SAMJIN 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 SAMJIN'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 SAMJIN Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 11.05 | |||
| Value At Risk | (2.34) | |||
| Potential Upside | 2.83 |
SAMJIN Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAMJIN's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAMJIN's standard deviation. In reality, there are many statistical measures that can use SAMJIN historical prices to predict the future SAMJIN's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.30) | |||
| Treynor Ratio | (0.09) |
SAMJIN Backtested Returns
SAMJIN owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0017, which indicates the company had a -0.0017% return per unit of standard deviation over the last 3 months. SAMJIN Co exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SAMJIN's insignificant Risk Adjusted Performance, market risk adjusted performance of (0.08), and Standard Deviation of 1.78 to confirm the risk estimate we provide. The firm has a beta of 0.34, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SAMJIN's returns are expected to increase less than the market. However, during the bear market, the loss of holding SAMJIN is expected to be smaller as well. At this point, SAMJIN has a negative expected return of -0.0031%. Please make sure to validate SAMJIN's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if SAMJIN performance from the past will be repeated at future time.
Auto-correlation | -0.7 |
Very good reverse predictability
SAMJIN Co has very good reverse predictability. Overlapping area represents the amount of predictability between SAMJIN time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd 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 SAMJIN price movement. The serial correlation of -0.7 indicates that around 70.0% of current SAMJIN price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.7 | |
| Spearman Rank Test | -0.79 | |
| Residual Average | 0.0 | |
| Price Variance | 2480.99 |
SAMJIN lagged returns against current returns
Autocorrelation, which is SAMJIN 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 SAMJIN's stock expected returns. We can calculate the autocorrelation of SAMJIN returns to help us make a trade decision. For example, suppose you find that SAMJIN 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 |
SAMJIN 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 SAMJIN stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAMJIN stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAMJIN stock over time.
Current vs Lagged Prices |
| Timeline |
SAMJIN Lagged Returns
When evaluating SAMJIN's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAMJIN stock have on its future price. SAMJIN 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, SAMJIN autocorrelation shows the relationship between SAMJIN stock current value and its past values and can show if there is a momentum factor associated with investing in SAMJIN Co.
Regressed Prices |
| Timeline |
Pair Trading with SAMJIN
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 SAMJIN 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 SAMJIN will appreciate offsetting losses from the drop in the long position's value.Moving together with SAMJIN Stock
Moving against SAMJIN Stock
The ability to find closely correlated positions to SAMJIN could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SAMJIN 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 SAMJIN - 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 SAMJIN Co to buy it.
The correlation of SAMJIN 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 SAMJIN moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SAMJIN 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 SAMJIN 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 SAMJIN Stock
SAMJIN financial ratios help investors to determine whether SAMJIN 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 SAMJIN with respect to the benefits of owning SAMJIN security.