Mirae Asset (Korea) Market Value
| 006805 Stock | 4,415 50.00 1.12% |
| Symbol | Mirae |
Mirae Asset '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 Mirae Asset'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 Mirae Asset.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Mirae Asset on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Mirae Asset Daewoo or generate 0.0% return on investment in Mirae Asset over 30 days.
Mirae Asset 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 Mirae Asset'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 Mirae Asset Daewoo upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.21 | |||
| Information Ratio | 0.0139 | |||
| Maximum Drawdown | 37.44 | |||
| Value At Risk | (2.55) | |||
| Potential Upside | 1.44 |
Mirae Asset Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mirae Asset's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mirae Asset's standard deviation. In reality, there are many statistical measures that can use Mirae Asset historical prices to predict the future Mirae Asset's volatility.| Risk Adjusted Performance | 0.0434 | |||
| Jensen Alpha | 0.2093 | |||
| Total Risk Alpha | (0.44) | |||
| Sortino Ratio | 0.0251 | |||
| Treynor Ratio | (0.58) |
Mirae Asset Daewoo Backtested Returns
At this point, Mirae Asset is very steady. Mirae Asset Daewoo has Sharpe Ratio of 0.0444, which conveys that the firm had a 0.0444% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Mirae Asset, which you can use to evaluate the volatility of the firm. Please verify Mirae Asset's Mean Deviation of 1.28, risk adjusted performance of 0.0434, and Downside Deviation of 2.21 to check out if the risk estimate we provide is consistent with the expected return of 0.19%. Mirae Asset has a performance score of 3 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.3, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Mirae Asset are expected to decrease at a much lower rate. During the bear market, Mirae Asset is likely to outperform the market. Mirae Asset Daewoo right now secures a risk of 4.2%. Please verify Mirae Asset Daewoo jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to decide if Mirae Asset Daewoo will be following its current price movements.
Auto-correlation | -0.74 |
Almost perfect reverse predictability
Mirae Asset Daewoo has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Mirae Asset time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th 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 Mirae Asset Daewoo price movement. The serial correlation of -0.74 indicates that around 74.0% of current Mirae Asset price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.74 | |
| Spearman Rank Test | -0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 137.8 K |
Mirae Asset Daewoo lagged returns against current returns
Autocorrelation, which is Mirae Asset 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 Mirae Asset's stock expected returns. We can calculate the autocorrelation of Mirae Asset returns to help us make a trade decision. For example, suppose you find that Mirae Asset 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 |
Mirae Asset 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 Mirae Asset stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mirae Asset stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mirae Asset stock over time.
Current vs Lagged Prices |
| Timeline |
Mirae Asset Lagged Returns
When evaluating Mirae Asset's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mirae Asset stock have on its future price. Mirae Asset 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, Mirae Asset autocorrelation shows the relationship between Mirae Asset stock current value and its past values and can show if there is a momentum factor associated with investing in Mirae Asset Daewoo.
Regressed Prices |
| Timeline |
Pair Trading with Mirae Asset
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 Mirae Asset 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 Mirae Asset will appreciate offsetting losses from the drop in the long position's value.Moving against Mirae Stock
| 0.62 | 006400 | Samsung SDI | PairCorr |
| 0.51 | 051910 | LG Chemicals | PairCorr |
| 0.49 | 005385 | Hyundai Motor | PairCorr |
| 0.45 | 005387 | Hyundai Motor | PairCorr |
| 0.43 | 005930 | Samsung Electronics | PairCorr |
The ability to find closely correlated positions to Mirae Asset could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Mirae Asset 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 Mirae Asset - 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 Mirae Asset Daewoo to buy it.
The correlation of Mirae Asset 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 Mirae Asset moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Mirae Asset Daewoo 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 Mirae Asset 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.