SFA Semicon (Korea) Market Value
| 036540 Stock | KRW 3,125 125.00 4.17% |
| Symbol | SFA |
SFA Semicon '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 SFA Semicon'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 SFA Semicon.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in SFA Semicon on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding SFA Semicon Co or generate 0.0% return on investment in SFA Semicon over 30 days. SFA Semicon is related to or competes with SFA Engineering, Nepes, LEENO Industrial, and Seoul Semiconductor. SFA Semicon Co., Ltd. offer semiconductors in South Korea. More
SFA Semicon 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 SFA Semicon'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 SFA Semicon Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 11.95 | |||
| Value At Risk | (4.48) | |||
| Potential Upside | 3.96 |
SFA Semicon Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SFA Semicon's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SFA Semicon's standard deviation. In reality, there are many statistical measures that can use SFA Semicon historical prices to predict the future SFA Semicon's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.69) | |||
| Treynor Ratio | (71.29) |
SFA Semicon Backtested Returns
SFA Semicon retains Efficiency (Sharpe Ratio) of -0.0898, which indicates the firm had a -0.0898% return per unit of risk over the last 3 months. SFA Semicon exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SFA Semicon's standard deviation of 2.57, and Risk Adjusted Performance of (0.07) to confirm the risk estimate we provide. The entity owns a Beta (Systematic Risk) of 0.004, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SFA Semicon's returns are expected to increase less than the market. However, during the bear market, the loss of holding SFA Semicon is expected to be smaller as well. At this point, SFA Semicon has a negative expected return of -0.22%. Please make sure to validate SFA Semicon's market risk adjusted performance, coefficient of variation, jensen alpha, as well as the relationship between the mean deviation and standard deviation , to decide if SFA Semicon performance from the past will be repeated in the future.
Auto-correlation | -0.39 |
Poor reverse predictability
SFA Semicon Co has poor reverse predictability. Overlapping area represents the amount of predictability between SFA Semicon 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 SFA Semicon price movement. The serial correlation of -0.39 indicates that just about 39.0% of current SFA Semicon price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | -0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 15.4 K |
SFA Semicon lagged returns against current returns
Autocorrelation, which is SFA Semicon 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 SFA Semicon's stock expected returns. We can calculate the autocorrelation of SFA Semicon returns to help us make a trade decision. For example, suppose you find that SFA Semicon 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 |
SFA Semicon 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 SFA Semicon stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SFA Semicon stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SFA Semicon stock over time.
Current vs Lagged Prices |
| Timeline |
SFA Semicon Lagged Returns
When evaluating SFA Semicon's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SFA Semicon stock have on its future price. SFA Semicon 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, SFA Semicon autocorrelation shows the relationship between SFA Semicon stock current value and its past values and can show if there is a momentum factor associated with investing in SFA Semicon Co.
Regressed Prices |
| Timeline |
Pair Trading with SFA Semicon
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 SFA Semicon 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 SFA Semicon will appreciate offsetting losses from the drop in the long position's value.Moving together with SFA Stock
| 0.71 | 005930 | Samsung Electronics | PairCorr |
| 0.67 | 005935 | Samsung Electronics | PairCorr |
| 0.74 | 005380 | Hyundai Motor | PairCorr |
The ability to find closely correlated positions to SFA Semicon could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SFA Semicon 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 SFA Semicon - 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 SFA Semicon Co to buy it.
The correlation of SFA Semicon 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 SFA Semicon moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SFA Semicon 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 SFA Semicon 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 SFA Stock
SFA Semicon financial ratios help investors to determine whether SFA 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 SFA with respect to the benefits of owning SFA Semicon security.