Hanmi Semicon (Korea) Market Value
| 042700 Stock | 74,600 2,300 2.99% |
| Symbol | Hanmi |
Hanmi Semicon '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 Hanmi Semicon'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 Hanmi Semicon.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in Hanmi Semicon on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding Hanmi Semicon or generate 0.0% return on investment in Hanmi Semicon over 540 days.
Hanmi Semicon 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 Hanmi Semicon'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 Hanmi Semicon upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 17.53 | |||
| Value At Risk | (6.48) | |||
| Potential Upside | 5.3 |
Hanmi Semicon Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hanmi Semicon's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hanmi Semicon's standard deviation. In reality, there are many statistical measures that can use Hanmi Semicon historical prices to predict the future Hanmi Semicon's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.72) | |||
| Total Risk Alpha | (1.21) | |||
| Treynor Ratio | (2.00) |
Hanmi Semicon Backtested Returns
Hanmi Semicon holds Efficiency (Sharpe) Ratio of -0.17, which attests that the entity had a -0.17% return per unit of risk over the last 3 months. Hanmi Semicon exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Hanmi Semicon's Standard Deviation of 3.51, market risk adjusted performance of (1.99), and Risk Adjusted Performance of (0.14) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.34, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Hanmi Semicon's returns are expected to increase less than the market. However, during the bear market, the loss of holding Hanmi Semicon is expected to be smaller as well. At this point, Hanmi Semicon has a negative expected return of -0.57%. Please make sure to check out Hanmi Semicon's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Hanmi Semicon performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.2 |
Insignificant reverse predictability
Hanmi Semicon has insignificant reverse predictability. Overlapping area represents the amount of predictability between Hanmi Semicon time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th 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 Hanmi Semicon price movement. The serial correlation of -0.2 indicates that over 20.0% of current Hanmi Semicon price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.2 | |
| Spearman Rank Test | -0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 801.5 M |
Hanmi Semicon lagged returns against current returns
Autocorrelation, which is Hanmi Semicon 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 Hanmi Semicon's stock expected returns. We can calculate the autocorrelation of Hanmi Semicon returns to help us make a trade decision. For example, suppose you find that Hanmi Semicon 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 |
Hanmi Semicon 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 Hanmi Semicon stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hanmi Semicon stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hanmi Semicon stock over time.
Current vs Lagged Prices |
| Timeline |
Hanmi Semicon Lagged Returns
When evaluating Hanmi Semicon's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hanmi Semicon stock have on its future price. Hanmi Semicon 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, Hanmi Semicon autocorrelation shows the relationship between Hanmi Semicon stock current value and its past values and can show if there is a momentum factor associated with investing in Hanmi Semicon.
Regressed Prices |
| Timeline |
Pair Trading with Hanmi Semicon
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 Hanmi Semicon 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 Hanmi Semicon will appreciate offsetting losses from the drop in the long position's value.Moving together with Hanmi Stock
The ability to find closely correlated positions to Hanmi Semicon could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Hanmi Semicon 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 Hanmi Semicon - 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 Hanmi Semicon to buy it.
The correlation of Hanmi Semicon 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 Hanmi Semicon moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Hanmi Semicon 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 Hanmi Semicon 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.