SFA Engineering (Korea) Market Value
| 056190 Stock | KRW 21,300 450.00 2.16% |
| Symbol | SFA |
SFA Engineering '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 Engineering'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 Engineering.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in SFA Engineering on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding SFA Engineering or generate 0.0% return on investment in SFA Engineering over 30 days. SFA Engineering is related to or competes with Dongsin Engineering, Doosan Fuel, Daishin Balance, Total Soft, AptaBio Therapeutics, ASTORY CoLtd, and Daewoo SBI. SFA Engineering Corporation manufactures and sells display equipment, logistics systems, semiconductor equipment, solar ... More
SFA Engineering 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 Engineering'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 Engineering upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 14.62 | |||
| Value At Risk | (4.48) | |||
| Potential Upside | 2.92 |
SFA Engineering Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SFA Engineering's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SFA Engineering's standard deviation. In reality, there are many statistical measures that can use SFA Engineering historical prices to predict the future SFA Engineering's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.69) | |||
| Treynor Ratio | 11.37 |
SFA Engineering Backtested Returns
SFA Engineering retains Efficiency (Sharpe Ratio) of -0.0652, which indicates the firm had a -0.0652% return per unit of risk over the last 3 months. SFA Engineering exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SFA Engineering's risk adjusted performance of (0.05), and Standard Deviation of 2.84 to confirm the risk estimate we provide. The entity owns a Beta (Systematic Risk) of -0.0187, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SFA Engineering are expected to decrease at a much lower rate. During the bear market, SFA Engineering is likely to outperform the market. At this point, SFA Engineering has a negative expected return of -0.19%. Please make sure to validate SFA Engineering's coefficient of variation, jensen alpha, and the relationship between the mean deviation and standard deviation , to decide if SFA Engineering performance from the past will be repeated in the future.
Auto-correlation | -0.53 |
Good reverse predictability
SFA Engineering has good reverse predictability. Overlapping area represents the amount of predictability between SFA Engineering time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 2024 to 2nd 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 Engineering price movement. The serial correlation of -0.53 indicates that about 53.0% of current SFA Engineering price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.53 | |
| Spearman Rank Test | -0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 233.1 K |
SFA Engineering lagged returns against current returns
Autocorrelation, which is SFA Engineering 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 Engineering's stock expected returns. We can calculate the autocorrelation of SFA Engineering returns to help us make a trade decision. For example, suppose you find that SFA Engineering 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 Engineering 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 Engineering stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SFA Engineering stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SFA Engineering stock over time.
Current vs Lagged Prices |
| Timeline |
SFA Engineering Lagged Returns
When evaluating SFA Engineering's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SFA Engineering stock have on its future price. SFA Engineering 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 Engineering autocorrelation shows the relationship between SFA Engineering stock current value and its past values and can show if there is a momentum factor associated with investing in SFA Engineering.
Regressed Prices |
| Timeline |
Pair Trading with SFA Engineering
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 Engineering 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 Engineering will appreciate offsetting losses from the drop in the long position's value.Moving together with SFA Stock
| 0.83 | 123040 | MS Autotech CoLtd | PairCorr |
| 0.73 | 012860 | Mobase Electronics CoLtd | PairCorr |
| 0.91 | 012700 | LEADCORP | PairCorr |
| 0.75 | 027710 | FarmStory | PairCorr |
The ability to find closely correlated positions to SFA Engineering 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 Engineering 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 Engineering - 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 Engineering to buy it.
The correlation of SFA Engineering 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 Engineering moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SFA Engineering 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 Engineering 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 Engineering 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 Engineering security.