Korea Steel (Korea) Market Value
| 007280 Stock | 1,427 7.00 0.49% |
| Symbol | Korea |
Korea Steel '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 Korea Steel'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 Korea Steel.
| 10/27/2024 |
| 11/26/2024 |
Korea Steel 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 Korea Steel'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 Korea Steel Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 10.37 | |||
| Value At Risk | (2.62) | |||
| Potential Upside | 2.84 |
Korea Steel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Korea Steel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Korea Steel's standard deviation. In reality, there are many statistical measures that can use Korea Steel historical prices to predict the future Korea Steel's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.39) | |||
| Treynor Ratio | (2.93) |
Korea Steel Backtested Returns
Korea Steel has Sharpe Ratio of -0.0415, which conveys that the firm had a -0.0415% return per unit of risk over the last 3 months. Korea Steel exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Korea Steel's Standard Deviation of 1.7, risk adjusted performance of (0.05), and Mean Deviation of 1.2 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.0428, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Korea Steel's returns are expected to increase less than the market. However, during the bear market, the loss of holding Korea Steel is expected to be smaller as well. At this point, Korea Steel has a negative expected return of -0.0736%. Please make sure to verify Korea Steel's treynor ratio, value at risk, and the relationship between the total risk alpha and maximum drawdown , to decide if Korea Steel performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.24 |
Weak predictability
Korea Steel Co has weak predictability. Overlapping area represents the amount of predictability between Korea Steel 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 Korea Steel price movement. The serial correlation of 0.24 indicates that over 24.0% of current Korea Steel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | 0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 673.54 |
Korea Steel lagged returns against current returns
Autocorrelation, which is Korea Steel 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 Korea Steel's stock expected returns. We can calculate the autocorrelation of Korea Steel returns to help us make a trade decision. For example, suppose you find that Korea Steel 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 |
Korea Steel 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 Korea Steel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Korea Steel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Korea Steel stock over time.
Current vs Lagged Prices |
| Timeline |
Korea Steel Lagged Returns
When evaluating Korea Steel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Korea Steel stock have on its future price. Korea Steel 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, Korea Steel autocorrelation shows the relationship between Korea Steel stock current value and its past values and can show if there is a momentum factor associated with investing in Korea Steel Co.
Regressed Prices |
| Timeline |
Pair Trading with Korea Steel
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 Korea Steel 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 Korea Steel will appreciate offsetting losses from the drop in the long position's value.Moving against Korea Stock
The ability to find closely correlated positions to Korea Steel could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Korea Steel 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 Korea Steel - 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 Korea Steel Co to buy it.
The correlation of Korea Steel 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 Korea Steel moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Korea Steel 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 Korea Steel 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 Korea Stock
Korea Steel financial ratios help investors to determine whether Korea 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 Korea with respect to the benefits of owning Korea Steel security.