Macromill Embrain (Korea) Market Value
| 169330 Stock | KRW 2,040 75.00 3.55% |
| Symbol | Macromill |
Macromill Embrain '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 Macromill Embrain'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 Macromill Embrain.
| 12/06/2022 |
| 11/25/2024 |
If you would invest 0.00 in Macromill Embrain on December 6, 2022 and sell it all today you would earn a total of 0.00 from holding Macromill Embrain Co or generate 0.0% return on investment in Macromill Embrain over 720 days. Macromill Embrain is related to or competes with Samsung Electronics, Samsung Electronics, LG Energy, SK Hynix, Samsung Biologics, LG Chem, and LG Chemicals. Macromill Embrain Co., Ltd. operates as an online research company in South Korea and internationally More
Macromill Embrain 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 Macromill Embrain'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 Macromill Embrain Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 10.67 | |||
| Value At Risk | (2.52) | |||
| Potential Upside | 2.06 |
Macromill Embrain Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Macromill Embrain's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Macromill Embrain's standard deviation. In reality, there are many statistical measures that can use Macromill Embrain historical prices to predict the future Macromill Embrain's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.43) | |||
| Treynor Ratio | 0.3236 |
Macromill Embrain Backtested Returns
Macromill Embrain has Sharpe Ratio of -0.0513, which conveys that the firm had a -0.0513% return per unit of risk over the last 3 months. Macromill Embrain exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Macromill Embrain's Standard Deviation of 1.79, risk adjusted performance of (0.05), and Mean Deviation of 1.2 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.46, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Macromill Embrain are expected to decrease at a much lower rate. During the bear market, Macromill Embrain is likely to outperform the market. At this point, Macromill Embrain has a negative expected return of -0.0925%. Please make sure to verify Macromill Embrain's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Macromill Embrain performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.17 |
Very weak predictability
Macromill Embrain Co has very weak predictability. Overlapping area represents the amount of predictability between Macromill Embrain time series from 6th of December 2022 to 1st of December 2023 and 1st of December 2023 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 Macromill Embrain price movement. The serial correlation of 0.17 indicates that over 17.0% of current Macromill Embrain price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | 0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 104.6 K |
Macromill Embrain lagged returns against current returns
Autocorrelation, which is Macromill Embrain 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 Macromill Embrain's stock expected returns. We can calculate the autocorrelation of Macromill Embrain returns to help us make a trade decision. For example, suppose you find that Macromill Embrain 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 |
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Macromill Embrain 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 Macromill Embrain stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macromill Embrain stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macromill Embrain stock over time.
Current vs Lagged Prices |
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Macromill Embrain Lagged Returns
When evaluating Macromill Embrain's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Macromill Embrain stock have on its future price. Macromill Embrain 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, Macromill Embrain autocorrelation shows the relationship between Macromill Embrain stock current value and its past values and can show if there is a momentum factor associated with investing in Macromill Embrain Co.
Regressed Prices |
| Timeline |
Pair Trading with Macromill Embrain
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 Macromill Embrain 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 Macromill Embrain will appreciate offsetting losses from the drop in the long position's value.Moving against Macromill Stock
The ability to find closely correlated positions to Macromill Embrain could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Macromill Embrain 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 Macromill Embrain - 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 Macromill Embrain Co to buy it.
The correlation of Macromill Embrain 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 Macromill Embrain moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Macromill Embrain 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 Macromill Embrain 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 Macromill Stock
Macromill Embrain financial ratios help investors to determine whether Macromill 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 Macromill with respect to the benefits of owning Macromill Embrain security.