Korean Air (Korea) Market Value
| 003495 Stock | 24,300 50.00 0.21% |
| Symbol | Korean |
Korean Air '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 Korean Air'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 Korean Air.
| 10/30/2024 |
| 11/29/2024 |
Korean Air 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 Korean Air'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 Korean Air Lines upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7391 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 2.83 | |||
| Value At Risk | (0.85) | |||
| Potential Upside | 1.3 |
Korean Air Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Korean Air's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Korean Air's standard deviation. In reality, there are many statistical measures that can use Korean Air historical prices to predict the future Korean Air's volatility.| Risk Adjusted Performance | 0.1018 | |||
| Jensen Alpha | 0.0944 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0.45) |
Korean Air Lines Backtested Returns
At this point, Korean Air is very steady. Korean Air Lines has Sharpe Ratio of 0.19, which conveys that the firm had a 0.19% return per unit of risk over the last 3 months. We have found thirty technical indicators for Korean Air, which you can use to evaluate the volatility of the firm. Please verify Korean Air's Risk Adjusted Performance of 0.1018, downside deviation of 0.7391, and Mean Deviation of 0.4622 to check out if the risk estimate we provide is consistent with the expected return of 0.11%. Korean Air has a performance score of 15 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.17, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Korean Air are expected to decrease at a much lower rate. During the bear market, Korean Air is likely to outperform the market. Korean Air Lines right now secures a risk of 0.56%. Please verify Korean Air Lines coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Korean Air Lines will be following its current price movements.
Auto-correlation | -0.34 |
Poor reverse predictability
Korean Air Lines has poor reverse predictability. Overlapping area represents the amount of predictability between Korean Air time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 Korean Air Lines price movement. The serial correlation of -0.34 indicates that nearly 34.0% of current Korean Air price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.34 | |
| Spearman Rank Test | -0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 72.3 K |
Korean Air Lines lagged returns against current returns
Autocorrelation, which is Korean Air 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 Korean Air's stock expected returns. We can calculate the autocorrelation of Korean Air returns to help us make a trade decision. For example, suppose you find that Korean Air 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 |
Korean Air 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 Korean Air stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Korean Air stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Korean Air stock over time.
Current vs Lagged Prices |
| Timeline |
Korean Air Lagged Returns
When evaluating Korean Air's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Korean Air stock have on its future price. Korean Air 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, Korean Air autocorrelation shows the relationship between Korean Air stock current value and its past values and can show if there is a momentum factor associated with investing in Korean Air Lines.
Regressed Prices |
| Timeline |
Pair Trading with Korean Air
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 Korean Air 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 Korean Air will appreciate offsetting losses from the drop in the long position's value.Moving together with Korean Stock
Moving against Korean Stock
| 0.73 | 004170 | Shinsegae | PairCorr |
| 0.68 | 011070 | LG Innotek | PairCorr |
| 0.62 | 005380 | Hyundai Motor | PairCorr |
| 0.59 | 097950 | CJ Cheiljedang | PairCorr |
The ability to find closely correlated positions to Korean Air could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Korean Air 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 Korean Air - 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 Korean Air Lines to buy it.
The correlation of Korean Air 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 Korean Air moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Korean Air Lines 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 Korean Air 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 Korean Stock
Korean Air financial ratios help investors to determine whether Korean 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 Korean with respect to the benefits of owning Korean Air security.