Samsung Life (Korea) Market Value
| 032830 Stock | 106,500 1,900 1.82% |
| Symbol | Samsung |
Samsung Life '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 Life'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 Samsung Life.
| 02/04/2023 |
| 11/25/2024 |
If you would invest 0.00 in Samsung Life on February 4, 2023 and sell it all today you would earn a total of 0.00 from holding Samsung Life or generate 0.0% return on investment in Samsung Life over 660 days. Samsung Life is related to or competes with Korea New, Dong A, Dreamus, SK Bioscience, MEDICOX, MohenzCoLtd, and Ewon Comfortech. More
Samsung Life 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 Life'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 Samsung Life upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.19 | |||
| Information Ratio | 0.0754 | |||
| Maximum Drawdown | 15.15 | |||
| Value At Risk | (3.60) | |||
| Potential Upside | 3.64 |
Samsung Life Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samsung Life's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samsung Life's standard deviation. In reality, there are many statistical measures that can use Samsung Life historical prices to predict the future Samsung Life's volatility.| Risk Adjusted Performance | 0.1057 | |||
| Jensen Alpha | 0.3041 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | 0.0841 | |||
| Treynor Ratio | 55.41 |
Samsung Life Backtested Returns
Samsung Life appears to be very steady, given 3 months investment horizon. Samsung Life owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0867, which indicates the firm had a 0.0867% return per unit of risk over the last 3 months. We have found thirty technical indicators for Samsung Life, which you can use to evaluate the volatility of the company. Please review Samsung Life's Coefficient Of Variation of 775.65, semi deviation of 1.85, and Risk Adjusted Performance of 0.1057 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Samsung Life holds a performance score of 6. The entity has a beta of 0.0055, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Samsung Life's returns are expected to increase less than the market. However, during the bear market, the loss of holding Samsung Life is expected to be smaller as well. Please check Samsung Life's semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to make a quick decision on whether Samsung Life's existing price patterns will revert.
Auto-correlation | 0.22 |
Weak predictability
Samsung Life has weak predictability. Overlapping area represents the amount of predictability between Samsung Life time series from 4th of February 2023 to 31st of December 2023 and 31st of December 2023 to 25th 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 Samsung Life price movement. The serial correlation of 0.22 indicates that over 22.0% of current Samsung Life price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.22 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 122.7 M |
Samsung Life lagged returns against current returns
Autocorrelation, which is Samsung Life 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 Life's stock expected returns. We can calculate the autocorrelation of Samsung Life returns to help us make a trade decision. For example, suppose you find that Samsung Life 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 Life 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 Life stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samsung Life stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samsung Life stock over time.
Current vs Lagged Prices |
| Timeline |
Samsung Life Lagged Returns
When evaluating Samsung Life's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samsung Life stock have on its future price. Samsung Life 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 Life autocorrelation shows the relationship between Samsung Life stock current value and its past values and can show if there is a momentum factor associated with investing in Samsung Life.
Regressed Prices |
| Timeline |
Pair Trading with Samsung Life
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 Life 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 Life will appreciate offsetting losses from the drop in the long position's value.Moving together with Samsung Stock
Moving against Samsung Stock
| 0.57 | 005930 | Samsung Electronics | PairCorr |
| 0.56 | 005935 | Samsung Electronics | PairCorr |
| 0.56 | 005380 | Hyundai Motor | PairCorr |
| 0.33 | 005387 | Hyundai Motor | PairCorr |
The ability to find closely correlated positions to Samsung Life 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 Life 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 Life - 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 Life to buy it.
The correlation of Samsung Life 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 Life moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Samsung Life 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 Life 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 Life 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 Life security.