ADM Korea (Korea) Market Value
| 187660 Stock | 3,585 105.00 3.02% |
| Symbol | ADM |
ADM Korea '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 ADM Korea'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 ADM Korea.
| 02/01/2024 |
| 11/27/2024 |
If you would invest 0.00 in ADM Korea on February 1, 2024 and sell it all today you would earn a total of 0.00 from holding ADM Korea or generate 0.0% return on investment in ADM Korea over 300 days.
ADM Korea 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 ADM Korea'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 ADM Korea upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.49 | |||
| Information Ratio | 0.0431 | |||
| Maximum Drawdown | 20.9 | |||
| Value At Risk | (4.30) | |||
| Potential Upside | 7.36 |
ADM Korea Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ADM Korea's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ADM Korea's standard deviation. In reality, there are many statistical measures that can use ADM Korea historical prices to predict the future ADM Korea's volatility.| Risk Adjusted Performance | 0.0679 | |||
| Jensen Alpha | 0.3377 | |||
| Total Risk Alpha | (0.30) | |||
| Sortino Ratio | 0.064 | |||
| Treynor Ratio | (0.58) |
ADM Korea Backtested Returns
ADM Korea appears to be very steady, given 3 months investment horizon. ADM Korea secures Sharpe Ratio (or Efficiency) of 0.11, which signifies that the company had a 0.11% return per unit of return volatility over the last 3 months. We have found thirty technical indicators for ADM Korea, which you can use to evaluate the volatility of the firm. Please makes use of ADM Korea's Risk Adjusted Performance of 0.0679, semi deviation of 2.24, and Mean Deviation of 2.49 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ADM Korea holds a performance score of 8. The firm shows a Beta (market volatility) of -0.48, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning ADM Korea are expected to decrease at a much lower rate. During the bear market, ADM Korea is likely to outperform the market. Please check ADM Korea's semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to make a quick decision on whether ADM Korea's price patterns will revert.
Auto-correlation | -0.18 |
Insignificant reverse predictability
ADM Korea has insignificant reverse predictability. Overlapping area represents the amount of predictability between ADM Korea time series from 1st of February 2024 to 30th of June 2024 and 30th of June 2024 to 27th 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 ADM Korea price movement. The serial correlation of -0.18 indicates that over 18.0% of current ADM Korea price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.18 | |
| Spearman Rank Test | 0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 70.6 K |
ADM Korea lagged returns against current returns
Autocorrelation, which is ADM Korea 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 ADM Korea's stock expected returns. We can calculate the autocorrelation of ADM Korea returns to help us make a trade decision. For example, suppose you find that ADM Korea 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 |
ADM Korea 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 ADM Korea stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ADM Korea stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ADM Korea stock over time.
Current vs Lagged Prices |
| Timeline |
ADM Korea Lagged Returns
When evaluating ADM Korea's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ADM Korea stock have on its future price. ADM Korea 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, ADM Korea autocorrelation shows the relationship between ADM Korea stock current value and its past values and can show if there is a momentum factor associated with investing in ADM Korea.
Regressed Prices |
| Timeline |
Pair Trading with ADM Korea
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 ADM Korea 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 ADM Korea will appreciate offsetting losses from the drop in the long position's value.Moving against ADM Stock
| 0.59 | 005930 | Samsung Electronics | PairCorr |
| 0.57 | 005935 | Samsung Electronics | PairCorr |
| 0.4 | 005385 | Hyundai Motor | PairCorr |
| 0.39 | 006400 | Samsung SDI | PairCorr |
| 0.32 | 005387 | Hyundai Motor | PairCorr |
The ability to find closely correlated positions to ADM Korea could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ADM Korea 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 ADM Korea - 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 ADM Korea to buy it.
The correlation of ADM Korea 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 ADM Korea moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ADM Korea 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 ADM Korea 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.