Samil CoLtd (Korea) Market Value
| 032280 Stock | KRW 1,608 46.00 2.94% |
| Symbol | Samil |
Samil 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 Samil 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 Samil CoLtd.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Samil CoLtd on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Samil CoLtd or generate 0.0% return on investment in Samil CoLtd over 30 days. Samil CoLtd is related to or competes with Busan Industrial, UNISEM, Finebesteel, Shinhan Inverse, and Fine Besteel. ,Ltd., a logistics company, engages in the terminal business in South Korea More
Samil 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 Samil 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 Samil CoLtd upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 4.17 | |||
| Value At Risk | (1.54) | |||
| Potential Upside | 1.37 |
Samil CoLtd Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samil CoLtd's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samil CoLtd's standard deviation. In reality, there are many statistical measures that can use Samil CoLtd historical prices to predict the future Samil CoLtd's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | (1.07) |
Samil CoLtd Backtested Returns
Samil CoLtd owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0489, which indicates the firm had a -0.0489% return per unit of risk over the last 3 months. Samil CoLtd exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Samil CoLtd's Coefficient Of Variation of (974.83), variance of 1.05, and Risk Adjusted Performance of (0.08) to confirm the risk estimate we provide. The entity has a beta of 0.11, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Samil CoLtd's returns are expected to increase less than the market. However, during the bear market, the loss of holding Samil CoLtd is expected to be smaller as well. At this point, Samil CoLtd has a negative expected return of -0.0532%. Please make sure to validate Samil CoLtd's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Samil CoLtd performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.53 |
Modest predictability
Samil CoLtd has modest predictability. Overlapping area represents the amount of predictability between Samil CoLtd time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd 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 Samil CoLtd price movement. The serial correlation of 0.53 indicates that about 53.0% of current Samil CoLtd price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 1952.35 |
Samil CoLtd lagged returns against current returns
Autocorrelation, which is Samil 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 Samil CoLtd's stock expected returns. We can calculate the autocorrelation of Samil CoLtd returns to help us make a trade decision. For example, suppose you find that Samil 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 |
Samil 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 Samil CoLtd stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samil CoLtd stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samil CoLtd stock over time.
Current vs Lagged Prices |
| Timeline |
Samil CoLtd Lagged Returns
When evaluating Samil CoLtd's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samil CoLtd stock have on its future price. Samil 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, Samil CoLtd autocorrelation shows the relationship between Samil CoLtd stock current value and its past values and can show if there is a momentum factor associated with investing in Samil CoLtd.
Regressed Prices |
| Timeline |
Pair Trading with Samil 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 Samil 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 Samil CoLtd will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Samil 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 Samil 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 Samil 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 Samil CoLtd to buy it.
The correlation of Samil 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 Samil CoLtd moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Samil 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 Samil 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 Samil Stock
Samil CoLtd financial ratios help investors to determine whether Samil 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 Samil with respect to the benefits of owning Samil CoLtd security.