Iljin Materials (Korea) Market Value
| 020150 Stock | 26,600 300.00 1.12% |
| Symbol | Iljin |
Iljin Materials '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 Iljin Materials' 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 Iljin Materials.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Iljin Materials on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding Iljin Materials Co or generate 0.0% return on investment in Iljin Materials over 30 days.
Iljin Materials 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 Iljin Materials' 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 Iljin Materials Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 15.87 | |||
| Value At Risk | (5.91) | |||
| Potential Upside | 5.22 |
Iljin Materials Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Iljin Materials' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Iljin Materials' standard deviation. In reality, there are many statistical measures that can use Iljin Materials historical prices to predict the future Iljin Materials' volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.41) | |||
| Total Risk Alpha | (0.95) | |||
| Treynor Ratio | 2.46 |
Iljin Materials Backtested Returns
Iljin Materials holds Efficiency (Sharpe) Ratio of -0.14, which attests that the entity had a -0.14% return per unit of risk over the last 3 months. Iljin Materials exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Iljin Materials' Standard Deviation of 3.25, market risk adjusted performance of 2.47, and Risk Adjusted Performance of (0.09) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.18, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Iljin Materials are expected to decrease at a much lower rate. During the bear market, Iljin Materials is likely to outperform the market. At this point, Iljin Materials has a negative expected return of -0.45%. Please make sure to check out Iljin Materials' standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Iljin Materials performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.55 |
Modest predictability
Iljin Materials Co has modest predictability. Overlapping area represents the amount of predictability between Iljin Materials time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd 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 Iljin Materials price movement. The serial correlation of 0.55 indicates that about 55.0% of current Iljin Materials price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | 0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 5.6 M |
Iljin Materials lagged returns against current returns
Autocorrelation, which is Iljin Materials 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 Iljin Materials' stock expected returns. We can calculate the autocorrelation of Iljin Materials returns to help us make a trade decision. For example, suppose you find that Iljin Materials 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 |
Iljin Materials 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 Iljin Materials stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Iljin Materials stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Iljin Materials stock over time.
Current vs Lagged Prices |
| Timeline |
Iljin Materials Lagged Returns
When evaluating Iljin Materials' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Iljin Materials stock have on its future price. Iljin Materials 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, Iljin Materials autocorrelation shows the relationship between Iljin Materials stock current value and its past values and can show if there is a momentum factor associated with investing in Iljin Materials Co.
Regressed Prices |
| Timeline |
Pair Trading with Iljin Materials
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 Iljin Materials 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 Iljin Materials will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Iljin Materials could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Iljin Materials 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 Iljin Materials - 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 Iljin Materials Co to buy it.
The correlation of Iljin Materials 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 Iljin Materials moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Iljin Materials 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 Iljin Materials 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.