Sajo Ind (Korea) Market Value
| 007160 Stock | 34,850 200.00 0.58% |
| Symbol | Sajo |
Sajo Ind '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 Sajo Ind'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 Sajo Ind.
| 02/28/2023 |
| 02/17/2025 |
If you would invest 0.00 in Sajo Ind on February 28, 2023 and sell it all today you would earn a total of 0.00 from holding Sajo Ind or generate 0.0% return on investment in Sajo Ind over 720 days.
Sajo Ind 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 Sajo Ind'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 Sajo Ind upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 8.82 | |||
| Value At Risk | (3.27) | |||
| Potential Upside | 2.98 |
Sajo Ind Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sajo Ind's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sajo Ind's standard deviation. In reality, there are many statistical measures that can use Sajo Ind historical prices to predict the future Sajo Ind's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.36) | |||
| Total Risk Alpha | (0.36) | |||
| Treynor Ratio | (1.78) |
Sajo Ind Backtested Returns
Sajo Ind owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0709, which indicates the firm had a -0.0709 % return per unit of risk over the last 3 months. Sajo Ind exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sajo Ind's Coefficient Of Variation of (511.30), variance of 3.13, and Risk Adjusted Performance of (0.13) to confirm the risk estimate we provide. The entity has a beta of 0.2, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sajo Ind's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sajo Ind is expected to be smaller as well. At this point, Sajo Ind has a negative expected return of -0.12%. Please make sure to validate Sajo Ind's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Sajo Ind performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.5 |
Modest reverse predictability
Sajo Ind has modest reverse predictability. Overlapping area represents the amount of predictability between Sajo Ind time series from 28th of February 2023 to 23rd of February 2024 and 23rd of February 2024 to 17th of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Sajo Ind price movement. The serial correlation of -0.5 indicates that about 50.0% of current Sajo Ind price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.5 | |
| Spearman Rank Test | 0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 131.1 M |
Sajo Ind lagged returns against current returns
Autocorrelation, which is Sajo Ind 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 Sajo Ind's stock expected returns. We can calculate the autocorrelation of Sajo Ind returns to help us make a trade decision. For example, suppose you find that Sajo Ind 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 |
Sajo Ind 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 Sajo Ind stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sajo Ind stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sajo Ind stock over time.
Current vs Lagged Prices |
| Timeline |
Sajo Ind Lagged Returns
When evaluating Sajo Ind's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sajo Ind stock have on its future price. Sajo Ind 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, Sajo Ind autocorrelation shows the relationship between Sajo Ind stock current value and its past values and can show if there is a momentum factor associated with investing in Sajo Ind.
Regressed Prices |
| Timeline |
Pair Trading with Sajo Ind
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 Sajo Ind 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 Sajo Ind will appreciate offsetting losses from the drop in the long position's value.Moving together with Sajo Stock
The ability to find closely correlated positions to Sajo Ind could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sajo Ind 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 Sajo Ind - 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 Sajo Ind to buy it.
The correlation of Sajo Ind 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 Sajo Ind moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sajo Ind 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 Sajo Ind 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.