Nepes (Korea) Market Value
| 033640 Stock | KRW 6,530 180.00 2.83% |
| Symbol | Nepes |
Nepes '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 Nepes' 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 Nepes.
| 05/27/2024 |
| 11/23/2024 |
If you would invest 0.00 in Nepes on May 27, 2024 and sell it all today you would earn a total of 0.00 from holding Nepes or generate 0.0% return on investment in Nepes over 180 days. Nepes is related to or competes with Dongjin Semichem, SFA Semicon, Seoul Semiconductor, and EO Technics. Nepes Corporation engages in the semiconductor, chemical, and energy businesses in South Korea More
Nepes 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 Nepes' 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 Nepes upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.34) | |||
| Maximum Drawdown | 10.54 | |||
| Value At Risk | (4.73) | |||
| Potential Upside | 3.64 |
Nepes Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nepes' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nepes' standard deviation. In reality, there are many statistical measures that can use Nepes historical prices to predict the future Nepes' volatility.| Risk Adjusted Performance | (0.21) | |||
| Jensen Alpha | (0.77) | |||
| Total Risk Alpha | (1.19) | |||
| Treynor Ratio | 14.21 |
Nepes Backtested Returns
Nepes has Sharpe Ratio of -0.28, which conveys that the firm had a -0.28% return per unit of risk over the last 3 months. Nepes exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Nepes' Risk Adjusted Performance of (0.21), standard deviation of 2.67, and Mean Deviation of 2.07 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.0545, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Nepes are expected to decrease at a much lower rate. During the bear market, Nepes is likely to outperform the market. At this point, Nepes has a negative expected return of -0.77%. Please make sure to verify Nepes' total risk alpha, maximum drawdown, and the relationship between the jensen alpha and treynor ratio , to decide if Nepes performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.88 |
Very good predictability
Nepes has very good predictability. Overlapping area represents the amount of predictability between Nepes time series from 27th of May 2024 to 25th of August 2024 and 25th of August 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 Nepes price movement. The serial correlation of 0.88 indicates that approximately 88.0% of current Nepes price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 988.9 K |
Nepes lagged returns against current returns
Autocorrelation, which is Nepes 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 Nepes' stock expected returns. We can calculate the autocorrelation of Nepes returns to help us make a trade decision. For example, suppose you find that Nepes 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 |
Nepes 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 Nepes stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nepes stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nepes stock over time.
Current vs Lagged Prices |
| Timeline |
Nepes Lagged Returns
When evaluating Nepes' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nepes stock have on its future price. Nepes 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, Nepes autocorrelation shows the relationship between Nepes stock current value and its past values and can show if there is a momentum factor associated with investing in Nepes.
Regressed Prices |
| Timeline |
Pair Trading with Nepes
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 Nepes 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 Nepes will appreciate offsetting losses from the drop in the long position's value.Moving together with Nepes Stock
The ability to find closely correlated positions to Nepes could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Nepes 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 Nepes - 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 Nepes to buy it.
The correlation of Nepes 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 Nepes moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Nepes 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 Nepes 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 Nepes Stock
Nepes financial ratios help investors to determine whether Nepes 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 Nepes with respect to the benefits of owning Nepes security.