Shinsegae Engineering (Korea) Market Value
| 034300 Stock | 18,030 20.00 0.11% |
| Symbol | Shinsegae |
Shinsegae Engineering '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 Shinsegae Engineering'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 Shinsegae Engineering.
| 06/09/2023 |
| 11/30/2024 |
If you would invest 0.00 in Shinsegae Engineering on June 9, 2023 and sell it all today you would earn a total of 0.00 from holding Shinsegae Engineering Construction or generate 0.0% return on investment in Shinsegae Engineering over 540 days. Shinsegae Engineering is related to or competes with AptaBio Therapeutics, Daewoo SBI, Dream Security, Microfriend, Innometry, and Jahwa Electron. More
Shinsegae Engineering 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 Shinsegae Engineering'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 Shinsegae Engineering Construction upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.29 | |||
| Information Ratio | 0.1608 | |||
| Maximum Drawdown | 13.75 | |||
| Value At Risk | (1.98) | |||
| Potential Upside | 3.99 |
Shinsegae Engineering Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shinsegae Engineering's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shinsegae Engineering's standard deviation. In reality, there are many statistical measures that can use Shinsegae Engineering historical prices to predict the future Shinsegae Engineering's volatility.| Risk Adjusted Performance | 0.1757 | |||
| Jensen Alpha | 0.4903 | |||
| Total Risk Alpha | 0.1137 | |||
| Sortino Ratio | 0.2837 | |||
| Treynor Ratio | 13.6 |
Shinsegae Engineering Backtested Returns
Shinsegae Engineering appears to be very steady, given 3 months investment horizon. Shinsegae Engineering owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.24, which indicates the firm had a 0.24% return per unit of risk over the last 3 months. By inspecting Shinsegae Engineering's technical indicators, you can evaluate if the expected return of 0.57% is justified by implied risk. Please review Shinsegae Engineering's Risk Adjusted Performance of 0.1757, coefficient of variation of 452.33, and Semi Deviation of 0.3506 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Shinsegae Engineering holds a performance score of 18. The entity has a beta of 0.0364, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Shinsegae Engineering's returns are expected to increase less than the market. However, during the bear market, the loss of holding Shinsegae Engineering is expected to be smaller as well. Please check Shinsegae Engineering's market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to make a quick decision on whether Shinsegae Engineering's existing price patterns will revert.
Auto-correlation | -0.78 |
Almost perfect reverse predictability
Shinsegae Engineering Construction has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Shinsegae Engineering time series from 9th of June 2023 to 5th of March 2024 and 5th of March 2024 to 30th 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 Shinsegae Engineering price movement. The serial correlation of -0.78 indicates that around 78.0% of current Shinsegae Engineering price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.78 | |
| Spearman Rank Test | -0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 7.7 M |
Shinsegae Engineering lagged returns against current returns
Autocorrelation, which is Shinsegae Engineering 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 Shinsegae Engineering's stock expected returns. We can calculate the autocorrelation of Shinsegae Engineering returns to help us make a trade decision. For example, suppose you find that Shinsegae Engineering 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 |
Shinsegae Engineering 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 Shinsegae Engineering stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shinsegae Engineering stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shinsegae Engineering stock over time.
Current vs Lagged Prices |
| Timeline |
Shinsegae Engineering Lagged Returns
When evaluating Shinsegae Engineering's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shinsegae Engineering stock have on its future price. Shinsegae Engineering 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, Shinsegae Engineering autocorrelation shows the relationship between Shinsegae Engineering stock current value and its past values and can show if there is a momentum factor associated with investing in Shinsegae Engineering Construction.
Regressed Prices |
| Timeline |
Pair Trading with Shinsegae Engineering
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 Shinsegae Engineering 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 Shinsegae Engineering will appreciate offsetting losses from the drop in the long position's value.Moving together with Shinsegae Stock
Moving against Shinsegae Stock
| 0.76 | 033240 | Jahwa Electron | PairCorr |
| 0.66 | 215480 | Daewoo SBI SPAC | PairCorr |
| 0.63 | 302430 | Innometry | PairCorr |
| 0.54 | 293780 | AptaBio Therapeutics | PairCorr |
| 0.53 | 053080 | Wonbang Tech | PairCorr |
The ability to find closely correlated positions to Shinsegae Engineering could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Shinsegae Engineering 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 Shinsegae Engineering - 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 Shinsegae Engineering Construction to buy it.
The correlation of Shinsegae Engineering 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 Shinsegae Engineering moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Shinsegae Engineering 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 Shinsegae Engineering 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 Shinsegae Stock
Shinsegae Engineering financial ratios help investors to determine whether Shinsegae 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 Shinsegae with respect to the benefits of owning Shinsegae Engineering security.