SAMRYOONG CoLtd (Korea) Market Value
| 014970 Stock | KRW 3,610 10.00 0.28% |
| Symbol | SAMRYOONG |
SAMRYOONG CoLtd '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 SAMRYOONG CoLtd'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 SAMRYOONG CoLtd.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in SAMRYOONG CoLtd on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding SAMRYOONG CoLtd or generate 0.0% return on investment in SAMRYOONG CoLtd over 30 days. SAMRYOONG CoLtd is related to or competes with Daewon Media, Polaris Office, Pan Entertainment, and Nasmedia. It offers carton pack, a square pillar form of liquid packaging container that can hold milk, juice, and soft drinks More
SAMRYOONG CoLtd 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 SAMRYOONG CoLtd'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 SAMRYOONG CoLtd upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 7.36 | |||
| Value At Risk | (2.41) | |||
| Potential Upside | 1.53 |
SAMRYOONG CoLtd Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAMRYOONG CoLtd's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAMRYOONG CoLtd's standard deviation. In reality, there are many statistical measures that can use SAMRYOONG CoLtd historical prices to predict the future SAMRYOONG CoLtd's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.17) | |||
| Total Risk Alpha | (0.34) | |||
| Treynor Ratio | (1.20) |
SAMRYOONG CoLtd Backtested Returns
SAMRYOONG CoLtd owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.11, which indicates the company had a -0.11% return per unit of standard deviation over the last 3 months. SAMRYOONG CoLtd exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SAMRYOONG CoLtd's Market Risk Adjusted Performance of (1.19), standard deviation of 1.22, and Risk Adjusted Performance of (0.09) to confirm the risk estimate we provide. The firm has a beta of 0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SAMRYOONG CoLtd's returns are expected to increase less than the market. However, during the bear market, the loss of holding SAMRYOONG CoLtd is expected to be smaller as well. At this point, SAMRYOONG CoLtd has a negative expected return of -0.14%. Please make sure to validate SAMRYOONG CoLtd's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if SAMRYOONG CoLtd performance from the past will be repeated at future time.
Auto-correlation | 0.09 |
Virtually no predictability
SAMRYOONG CoLtd has virtually no predictability. Overlapping area represents the amount of predictability between SAMRYOONG CoLtd time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 SAMRYOONG CoLtd price movement. The serial correlation of 0.09 indicates that less than 9.0% of current SAMRYOONG CoLtd price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | -0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 1896.69 |
SAMRYOONG CoLtd lagged returns against current returns
Autocorrelation, which is SAMRYOONG CoLtd 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 SAMRYOONG CoLtd's stock expected returns. We can calculate the autocorrelation of SAMRYOONG CoLtd returns to help us make a trade decision. For example, suppose you find that SAMRYOONG CoLtd 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 |
SAMRYOONG CoLtd 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 SAMRYOONG CoLtd stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAMRYOONG CoLtd stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAMRYOONG CoLtd stock over time.
Current vs Lagged Prices |
| Timeline |
SAMRYOONG CoLtd Lagged Returns
When evaluating SAMRYOONG CoLtd's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAMRYOONG CoLtd stock have on its future price. SAMRYOONG CoLtd 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, SAMRYOONG CoLtd autocorrelation shows the relationship between SAMRYOONG CoLtd stock current value and its past values and can show if there is a momentum factor associated with investing in SAMRYOONG CoLtd.
Regressed Prices |
| Timeline |
Pair Trading with SAMRYOONG CoLtd
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 SAMRYOONG CoLtd 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 SAMRYOONG CoLtd will appreciate offsetting losses from the drop in the long position's value.Moving together with SAMRYOONG Stock
Moving against SAMRYOONG Stock
The ability to find closely correlated positions to SAMRYOONG CoLtd could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SAMRYOONG CoLtd 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 SAMRYOONG CoLtd - 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 SAMRYOONG CoLtd to buy it.
The correlation of SAMRYOONG CoLtd 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 SAMRYOONG CoLtd moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SAMRYOONG CoLtd 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 SAMRYOONG CoLtd 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 SAMRYOONG Stock
SAMRYOONG CoLtd financial ratios help investors to determine whether SAMRYOONG 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 SAMRYOONG with respect to the benefits of owning SAMRYOONG CoLtd security.