Samhyun (Korea) Market Value
| 437730 Stock | 6,230 170.00 2.81% |
| Symbol | Samhyun |
Samhyun '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 Samhyun'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 Samhyun.
| 06/27/2024 |
| 12/24/2024 |
If you would invest 0.00 in Samhyun on June 27, 2024 and sell it all today you would earn a total of 0.00 from holding Samhyun or generate 0.0% return on investment in Samhyun over 180 days.
Samhyun 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 Samhyun'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 Samhyun upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 50.74 | |||
| Value At Risk | (7.69) | |||
| Potential Upside | 8.02 |
Samhyun Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samhyun's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samhyun's standard deviation. In reality, there are many statistical measures that can use Samhyun historical prices to predict the future Samhyun's volatility.| Risk Adjusted Performance | 0.003 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | 0.0626 |
Samhyun Backtested Returns
Samhyun owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0194, which indicates the firm had a -0.0194% return per unit of risk over the last 3 months. Samhyun exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Samhyun's Variance of 44.04, coefficient of variation of (13,571), and Risk Adjusted Performance of 0.003 to confirm the risk estimate we provide. The entity has a beta of -0.94, which indicates possible diversification benefits within a given portfolio. As the market becomes more bullish, returns on owning Samhyun are expected to decrease slowly. On the other hand, during market turmoil, Samhyun is expected to outperform it slightly. At this point, Samhyun has a negative expected return of -0.13%. Please make sure to validate Samhyun's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Samhyun performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.2 |
Insignificant reverse predictability
Samhyun has insignificant reverse predictability. Overlapping area represents the amount of predictability between Samhyun time series from 27th of June 2024 to 25th of September 2024 and 25th of September 2024 to 24th 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 Samhyun price movement. The serial correlation of -0.2 indicates that over 20.0% of current Samhyun price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.2 | |
| Spearman Rank Test | 0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 2 M |
Samhyun lagged returns against current returns
Autocorrelation, which is Samhyun 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 Samhyun's stock expected returns. We can calculate the autocorrelation of Samhyun returns to help us make a trade decision. For example, suppose you find that Samhyun 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 |
Samhyun 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 Samhyun stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samhyun stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samhyun stock over time.
Current vs Lagged Prices |
| Timeline |
Samhyun Lagged Returns
When evaluating Samhyun's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samhyun stock have on its future price. Samhyun 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, Samhyun autocorrelation shows the relationship between Samhyun stock current value and its past values and can show if there is a momentum factor associated with investing in Samhyun.
Regressed Prices |
| Timeline |
Pair Trading with Samhyun
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 Samhyun 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 Samhyun will appreciate offsetting losses from the drop in the long position's value.Moving against Samhyun Stock
| 0.51 | 035420 | Naver | PairCorr |
| 0.47 | 035900 | JYP Entertainment | PairCorr |
| 0.45 | 032640 | LG Uplus | PairCorr |
| 0.44 | 011390 | Busan Industrial | PairCorr |
The ability to find closely correlated positions to Samhyun could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Samhyun 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 Samhyun - 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 Samhyun to buy it.
The correlation of Samhyun 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 Samhyun moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Samhyun 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 Samhyun 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.