YG Entertainment (Korea) Market Value
| 122870 Stock | 47,600 1,300 2.66% |
| Symbol | 122870 |
YG Entertainment '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 YG Entertainment'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 YG Entertainment.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in YG Entertainment on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding YG Entertainment or generate 0.0% return on investment in YG Entertainment over 510 days.
YG Entertainment 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 YG Entertainment'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 YG Entertainment upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.52 | |||
| Information Ratio | 0.139 | |||
| Maximum Drawdown | 12.4 | |||
| Value At Risk | (3.14) | |||
| Potential Upside | 5.37 |
YG Entertainment Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for YG Entertainment's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as YG Entertainment's standard deviation. In reality, there are many statistical measures that can use YG Entertainment historical prices to predict the future YG Entertainment's volatility.| Risk Adjusted Performance | 0.1497 | |||
| Jensen Alpha | 0.4465 | |||
| Total Risk Alpha | 0.0747 | |||
| Sortino Ratio | 0.1491 | |||
| Treynor Ratio | 1.21 |
YG Entertainment Backtested Returns
YG Entertainment appears to be very steady, given 3 months investment horizon. YG Entertainment retains Efficiency (Sharpe Ratio) of 0.2, which attests that the company had a 0.2% return per unit of price deviation over the last 3 months. By inspecting YG Entertainment's technical indicators, you can evaluate if the expected return of 0.58% is justified by implied risk. Please utilize YG Entertainment's standard deviation of 2.71, and Market Risk Adjusted Performance of 1.22 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, YG Entertainment holds a performance score of 16. The firm owns a Beta (Systematic Risk) of 0.41, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, YG Entertainment's returns are expected to increase less than the market. However, during the bear market, the loss of holding YG Entertainment is expected to be smaller as well. Please check YG Entertainment's semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to make a quick decision on whether YG Entertainment's current price history will revert.
Auto-correlation | 0.41 |
Average predictability
YG Entertainment has average predictability. Overlapping area represents the amount of predictability between YG Entertainment time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 YG Entertainment price movement. The serial correlation of 0.41 indicates that just about 41.0% of current YG Entertainment price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.41 | |
| Spearman Rank Test | 0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 18 M |
YG Entertainment lagged returns against current returns
Autocorrelation, which is YG Entertainment 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 YG Entertainment's stock expected returns. We can calculate the autocorrelation of YG Entertainment returns to help us make a trade decision. For example, suppose you find that YG Entertainment 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 |
YG Entertainment 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 YG Entertainment stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if YG Entertainment stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in YG Entertainment stock over time.
Current vs Lagged Prices |
| Timeline |
YG Entertainment Lagged Returns
When evaluating YG Entertainment's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of YG Entertainment stock have on its future price. YG Entertainment 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, YG Entertainment autocorrelation shows the relationship between YG Entertainment stock current value and its past values and can show if there is a momentum factor associated with investing in YG Entertainment.
Regressed Prices |
| Timeline |
Pair Trading with YG Entertainment
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 YG Entertainment 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 YG Entertainment will appreciate offsetting losses from the drop in the long position's value.Moving against 122870 Stock
| 0.78 | 006400 | Samsung SDI | PairCorr |
| 0.69 | 005930 | Samsung Electronics | PairCorr |
| 0.67 | 005935 | Samsung Electronics | PairCorr |
| 0.67 | 005385 | Hyundai Motor | PairCorr |
| 0.56 | 005387 | Hyundai Motor | PairCorr |
The ability to find closely correlated positions to YG Entertainment could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace YG Entertainment 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 YG Entertainment - 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 YG Entertainment to buy it.
The correlation of YG Entertainment 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 YG Entertainment moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if YG Entertainment 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 YG Entertainment 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.