Tongyang (Korea) Market Value
| 001525 Stock | 4,205 40.00 0.94% |
| Symbol | Tongyang |
Tongyang '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 Tongyang'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 Tongyang.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Tongyang on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Tongyang or generate 0.0% return on investment in Tongyang over 30 days.
Tongyang 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 Tongyang'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 Tongyang upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 22.16 | |||
| Value At Risk | (7.77) | |||
| Potential Upside | 10.44 |
Tongyang Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Tongyang's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Tongyang's standard deviation. In reality, there are many statistical measures that can use Tongyang historical prices to predict the future Tongyang's volatility.| Risk Adjusted Performance | 0.0019 | |||
| Jensen Alpha | 0.0917 | |||
| Total Risk Alpha | (0.71) | |||
| Treynor Ratio | 0.0388 |
Tongyang Backtested Returns
Tongyang owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.01, which indicates the firm had a -0.01% return per unit of risk over the last 3 months. Tongyang exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Tongyang's Variance of 19.5, risk adjusted performance of 0.0019, and Coefficient Of Variation of (12,130) to confirm the risk estimate we provide. The entity has a beta of -1.2, which indicates a somewhat significant risk relative to the market. As returns on the market increase, returns on owning Tongyang are expected to decrease by larger amounts. On the other hand, during market turmoil, Tongyang is expected to outperform it. At this point, Tongyang has a negative expected return of -0.0436%. Please make sure to validate Tongyang's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Tongyang performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.15 |
Insignificant predictability
Tongyang has insignificant predictability. Overlapping area represents the amount of predictability between Tongyang time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th of November 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 Tongyang price movement. The serial correlation of 0.15 indicates that less than 15.0% of current Tongyang price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.15 | |
| Spearman Rank Test | -0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 26.1 K |
Tongyang lagged returns against current returns
Autocorrelation, which is Tongyang 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 Tongyang's stock expected returns. We can calculate the autocorrelation of Tongyang returns to help us make a trade decision. For example, suppose you find that Tongyang 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 |
Tongyang 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 Tongyang stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Tongyang stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Tongyang stock over time.
Current vs Lagged Prices |
| Timeline |
Tongyang Lagged Returns
When evaluating Tongyang's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Tongyang stock have on its future price. Tongyang 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, Tongyang autocorrelation shows the relationship between Tongyang stock current value and its past values and can show if there is a momentum factor associated with investing in Tongyang.
Regressed Prices |
| Timeline |
Pair Trading with Tongyang
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 Tongyang 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 Tongyang will appreciate offsetting losses from the drop in the long position's value.Moving against Tongyang Stock
The ability to find closely correlated positions to Tongyang could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Tongyang 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 Tongyang - 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 Tongyang to buy it.
The correlation of Tongyang 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 Tongyang moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Tongyang 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 Tongyang 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.