Samsung Securities (Korea) Market Value
| 016360 Stock | 45,600 550.00 1.22% |
| Symbol | Samsung |
Samsung Securities '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 Samsung Securities' 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 Samsung Securities.
| 01/02/2025 |
| 02/01/2025 |
If you would invest 0.00 in Samsung Securities on January 2, 2025 and sell it all today you would earn a total of 0.00 from holding Samsung Securities or generate 0.0% return on investment in Samsung Securities over 30 days. Samsung Securities is related to or competes with Korea Information, Netmarble Games, KT Submarine, Kakao Games, Automobile, Sejong Telecom, and Digital Power. More
Samsung Securities 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 Samsung Securities' 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 Samsung Securities upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.82 | |||
| Information Ratio | 0.0321 | |||
| Maximum Drawdown | 11.48 | |||
| Value At Risk | (3.45) | |||
| Potential Upside | 3.54 |
Samsung Securities Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samsung Securities' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samsung Securities' standard deviation. In reality, there are many statistical measures that can use Samsung Securities historical prices to predict the future Samsung Securities' volatility.| Risk Adjusted Performance | 0.0682 | |||
| Jensen Alpha | 0.125 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0325 | |||
| Treynor Ratio | 3.16 |
Samsung Securities Backtested Returns
At this point, Samsung Securities is very steady. Samsung Securities owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0748, which indicates the firm had a 0.0748 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Samsung Securities, which you can use to evaluate the volatility of the company. Please validate Samsung Securities' Coefficient Of Variation of 1337.24, risk adjusted performance of 0.0682, and Semi Deviation of 1.56 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. Samsung Securities has a performance score of 5 on a scale of 0 to 100. The entity has a beta of 0.0404, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Samsung Securities' returns are expected to increase less than the market. However, during the bear market, the loss of holding Samsung Securities is expected to be smaller as well. Samsung Securities right now has a risk of 1.84%. Please validate Samsung Securities coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Samsung Securities will be following its existing price patterns.
Auto-correlation | 0.49 |
Average predictability
Samsung Securities has average predictability. Overlapping area represents the amount of predictability between Samsung Securities time series from 2nd of January 2025 to 17th of January 2025 and 17th of January 2025 to 1st 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 Samsung Securities price movement. The serial correlation of 0.49 indicates that about 49.0% of current Samsung Securities price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 469 K |
Samsung Securities lagged returns against current returns
Autocorrelation, which is Samsung Securities 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 Samsung Securities' stock expected returns. We can calculate the autocorrelation of Samsung Securities returns to help us make a trade decision. For example, suppose you find that Samsung Securities 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 |
Samsung Securities 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 Samsung Securities stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samsung Securities stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samsung Securities stock over time.
Current vs Lagged Prices |
| Timeline |
Samsung Securities Lagged Returns
When evaluating Samsung Securities' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samsung Securities stock have on its future price. Samsung Securities 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, Samsung Securities autocorrelation shows the relationship between Samsung Securities stock current value and its past values and can show if there is a momentum factor associated with investing in Samsung Securities.
Regressed Prices |
| Timeline |
Pair Trading with Samsung Securities
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 Samsung Securities 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 Samsung Securities will appreciate offsetting losses from the drop in the long position's value.Moving against Samsung Stock
The ability to find closely correlated positions to Samsung Securities could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Samsung Securities 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 Samsung Securities - 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 Samsung Securities to buy it.
The correlation of Samsung Securities 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 Samsung Securities moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Samsung Securities 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 Samsung Securities 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 Samsung Stock
Samsung Securities financial ratios help investors to determine whether Samsung 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 Samsung with respect to the benefits of owning Samsung Securities security.