SPG (Korea) Market Value
| 058610 Stock | KRW 22,150 800.00 3.75% |
| Symbol | SPG |
SPG '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 SPG'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 SPG.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in SPG on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding SPG Co or generate 0.0% return on investment in SPG over 30 days. SPG is related to or competes with Jinro Distillers, Shinhan Inverse, Daejung Chemicals, Korea Shipbuilding, Kbi Metal, Heungkuk Metaltech, and INtRON Biotechnology. The company offers standard AC motors, including induction, reversible, electromagnetic brake, terminal box type, speed ... More
SPG 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 SPG'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 SPG Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.58 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 12.42 | |||
| Value At Risk | (3.98) | |||
| Potential Upside | 5.03 |
SPG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SPG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SPG's standard deviation. In reality, there are many statistical measures that can use SPG historical prices to predict the future SPG's volatility.| Risk Adjusted Performance | 0.0302 | |||
| Jensen Alpha | 0.1301 | |||
| Total Risk Alpha | (0.37) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | (0.16) |
SPG Co Backtested Returns
SPG Co owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0831, which indicates the firm had a -0.0831% return per unit of volatility over the last 3 months. SPG Co exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SPG's coefficient of variation of 3350.22, and Risk Adjusted Performance of 0.0302 to confirm the risk estimate we provide. The entity has a beta of -0.47, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning SPG are expected to decrease at a much lower rate. During the bear market, SPG is likely to outperform the market. At this point, SPG Co has a negative expected return of -0.22%. Please make sure to validate SPG's market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to decide if SPG Co performance from the past will be repeated at future time.
Auto-correlation | 0.04 |
Virtually no predictability
SPG Co has virtually no predictability. Overlapping area represents the amount of predictability between SPG time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 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 SPG Co price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current SPG price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 512.6 K |
SPG Co lagged returns against current returns
Autocorrelation, which is SPG 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 SPG's stock expected returns. We can calculate the autocorrelation of SPG returns to help us make a trade decision. For example, suppose you find that SPG 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 |
SPG 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 SPG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SPG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SPG stock over time.
Current vs Lagged Prices |
| Timeline |
SPG Lagged Returns
When evaluating SPG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SPG stock have on its future price. SPG 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, SPG autocorrelation shows the relationship between SPG stock current value and its past values and can show if there is a momentum factor associated with investing in SPG Co.
Regressed Prices |
| Timeline |
Pair Trading with SPG
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 SPG 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 SPG will appreciate offsetting losses from the drop in the long position's value.Moving together with SPG Stock
Moving against SPG Stock
The ability to find closely correlated positions to SPG could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SPG 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 SPG - 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 SPG Co to buy it.
The correlation of SPG 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 SPG moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SPG Co 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 SPG 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 SPG Stock
SPG financial ratios help investors to determine whether SPG 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 SPG with respect to the benefits of owning SPG security.