ED (Korea) Market Value
| 101360 Stock | 29,000 1,200 4.32% |
| Symbol | ED |
ED '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 ED'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 ED.
| 07/28/2024 |
| 11/25/2024 |
If you would invest 0.00 in ED on July 28, 2024 and sell it all today you would earn a total of 0.00 from holding ED Co or generate 0.0% return on investment in ED over 120 days.
ED 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 ED'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 ED Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 21.33 | |||
| Value At Risk | (6.54) | |||
| Potential Upside | 7.93 |
ED Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ED's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ED's standard deviation. In reality, there are many statistical measures that can use ED historical prices to predict the future ED's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.83) | |||
| Treynor Ratio | 0.1552 |
ED Co Backtested Returns
ED Co retains Efficiency (Sharpe Ratio) of -0.0161, which denotes the company had a -0.0161% return per unit of price deviation over the last 3 months. ED exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm ED's Information Ratio of (0.05), standard deviation of 4.57, and Market Risk Adjusted Performance of 0.1652 to check the risk estimate we provide. The firm owns a Beta (Systematic Risk) of -0.71, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning ED are expected to decrease at a much lower rate. During the bear market, ED is likely to outperform the market. At this point, ED Co has a negative expected return of -0.0758%. Please make sure to confirm ED's market risk adjusted performance, coefficient of variation, jensen alpha, as well as the relationship between the mean deviation and standard deviation , to decide if ED Co performance from the past will be repeated sooner or later.
Auto-correlation | -0.6 |
Good reverse predictability
ED Co has good reverse predictability. Overlapping area represents the amount of predictability between ED time series from 28th of July 2024 to 26th of September 2024 and 26th of September 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 ED Co price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current ED price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 36.8 M |
ED Co lagged returns against current returns
Autocorrelation, which is ED 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 ED's stock expected returns. We can calculate the autocorrelation of ED returns to help us make a trade decision. For example, suppose you find that ED 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 |
ED 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 ED stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ED stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ED stock over time.
Current vs Lagged Prices |
| Timeline |
ED Lagged Returns
When evaluating ED's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ED stock have on its future price. ED 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, ED autocorrelation shows the relationship between ED stock current value and its past values and can show if there is a momentum factor associated with investing in ED Co.
Regressed Prices |
| Timeline |
Pair Trading with ED
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 ED 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 ED will appreciate offsetting losses from the drop in the long position's value.Moving together with ED Stock
The ability to find closely correlated positions to ED could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ED 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 ED - 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 ED Co to buy it.
The correlation of ED 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 ED moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ED 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 ED 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.