Shinsegae (Korea) Market Value
| 004170 Stock | 134,400 1,600 1.18% |
| Symbol | Shinsegae |
Shinsegae '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 Shinsegae'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 Shinsegae.
| 11/06/2023 |
| 11/30/2024 |
If you would invest 0.00 in Shinsegae on November 6, 2023 and sell it all today you would earn a total of 0.00 from holding Shinsegae or generate 0.0% return on investment in Shinsegae over 390 days. Shinsegae is related to or competes with LG Display, Hyundai, Hyundai, Hyundai, Adaptive Plasma, Kia Corp, and Korea Electric. More
Shinsegae 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 Shinsegae'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 Shinsegae upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 9.1 | |||
| Value At Risk | (3.26) | |||
| Potential Upside | 2.46 |
Shinsegae Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shinsegae's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shinsegae's standard deviation. In reality, there are many statistical measures that can use Shinsegae historical prices to predict the future Shinsegae's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.15) | |||
| Total Risk Alpha | (0.46) | |||
| Treynor Ratio | 13.74 |
Shinsegae Backtested Returns
Shinsegae owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.1, which indicates the firm had a -0.1% return per unit of risk over the last 3 months. Shinsegae exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Shinsegae's Coefficient Of Variation of (1,313), risk adjusted performance of (0.05), and Variance of 3.43 to confirm the risk estimate we provide. The entity has a beta of -0.011, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Shinsegae are expected to decrease at a much lower rate. During the bear market, Shinsegae is likely to outperform the market. At this point, Shinsegae has a negative expected return of -0.2%. Please make sure to validate Shinsegae'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 Shinsegae performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.06 |
Virtually no predictability
Shinsegae has virtually no predictability. Overlapping area represents the amount of predictability between Shinsegae time series from 6th of November 2023 to 19th of May 2024 and 19th of May 2024 to 30th 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 Shinsegae price movement. The serial correlation of 0.06 indicates that barely 6.0% of current Shinsegae price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.06 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 94 M |
Shinsegae lagged returns against current returns
Autocorrelation, which is Shinsegae 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 Shinsegae's stock expected returns. We can calculate the autocorrelation of Shinsegae returns to help us make a trade decision. For example, suppose you find that Shinsegae 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 |
Shinsegae 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 Shinsegae stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shinsegae stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shinsegae stock over time.
Current vs Lagged Prices |
| Timeline |
Shinsegae Lagged Returns
When evaluating Shinsegae's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shinsegae stock have on its future price. Shinsegae 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, Shinsegae autocorrelation shows the relationship between Shinsegae stock current value and its past values and can show if there is a momentum factor associated with investing in Shinsegae.
Regressed Prices |
| Timeline |
Pair Trading with Shinsegae
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 Shinsegae 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 Shinsegae will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Shinsegae could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Shinsegae 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 Shinsegae - 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 Shinsegae to buy it.
The correlation of Shinsegae 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 Shinsegae moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Shinsegae 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 Shinsegae 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 Shinsegae Stock
Shinsegae financial ratios help investors to determine whether Shinsegae 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 Shinsegae with respect to the benefits of owning Shinsegae security.