Hyundai Rotem (Korea) Market Value
| 064350 Stock | 47,550 1,550 3.37% |
| Symbol | Hyundai |
Hyundai Rotem '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 Hyundai Rotem'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 Hyundai Rotem.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Hyundai Rotem on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Hyundai Rotem Co or generate 0.0% return on investment in Hyundai Rotem over 30 days. Hyundai Rotem is related to or competes with Korea New, Busan Industrial, Sam Chun, Humax, Finebesteel, Shinhan Inverse, and Fine Besteel. More
Hyundai Rotem 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 Hyundai Rotem'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 Hyundai Rotem Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 20.18 | |||
| Value At Risk | (6.82) | |||
| Potential Upside | 4.44 |
Hyundai Rotem Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hyundai Rotem's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hyundai Rotem's standard deviation. In reality, there are many statistical measures that can use Hyundai Rotem historical prices to predict the future Hyundai Rotem's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.69) | |||
| Treynor Ratio | 0.7136 |
Hyundai Rotem Backtested Returns
Hyundai Rotem holds Efficiency (Sharpe) Ratio of -0.0021, which attests that the entity had a -0.0021% return per unit of risk over the last 3 months. Hyundai Rotem exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Hyundai Rotem's Risk Adjusted Performance of (0.02), market risk adjusted performance of 0.7236, and Standard Deviation of 3.43 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.2, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Hyundai Rotem are expected to decrease at a much lower rate. During the bear market, Hyundai Rotem is likely to outperform the market. At this point, Hyundai Rotem has a negative expected return of -0.0074%. Please make sure to check out Hyundai Rotem's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Hyundai Rotem performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.23 |
Weak predictability
Hyundai Rotem Co has weak predictability. Overlapping area represents the amount of predictability between Hyundai Rotem time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th of December 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 Hyundai Rotem price movement. The serial correlation of 0.23 indicates that over 23.0% of current Hyundai Rotem price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.23 | |
| Spearman Rank Test | 0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 7.8 M |
Hyundai Rotem lagged returns against current returns
Autocorrelation, which is Hyundai Rotem 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 Hyundai Rotem's stock expected returns. We can calculate the autocorrelation of Hyundai Rotem returns to help us make a trade decision. For example, suppose you find that Hyundai Rotem 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 |
Hyundai Rotem 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 Hyundai Rotem stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hyundai Rotem stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hyundai Rotem stock over time.
Current vs Lagged Prices |
| Timeline |
Hyundai Rotem Lagged Returns
When evaluating Hyundai Rotem's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hyundai Rotem stock have on its future price. Hyundai Rotem 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, Hyundai Rotem autocorrelation shows the relationship between Hyundai Rotem stock current value and its past values and can show if there is a momentum factor associated with investing in Hyundai Rotem Co.
Regressed Prices |
| Timeline |
Pair Trading with Hyundai Rotem
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 Hyundai Rotem 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 Hyundai Rotem will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Hyundai Rotem could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Hyundai Rotem 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 Hyundai Rotem - 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 Hyundai Rotem Co to buy it.
The correlation of Hyundai Rotem 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 Hyundai Rotem moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Hyundai Rotem 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 Hyundai Rotem 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 Hyundai Stock
Hyundai Rotem financial ratios help investors to determine whether Hyundai 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 Hyundai with respect to the benefits of owning Hyundai Rotem security.