Cosmax (Korea) Market Value
| 192820 Stock | 134,000 1,500 1.13% |
| Symbol | Cosmax |
Cosmax '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 Cosmax'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 Cosmax.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in Cosmax on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding Cosmax Inc or generate 0.0% return on investment in Cosmax over 510 days.
Cosmax 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 Cosmax'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 Cosmax Inc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.43 | |||
| Information Ratio | 0.007 | |||
| Maximum Drawdown | 20.13 | |||
| Value At Risk | (5.81) | |||
| Potential Upside | 5.94 |
Cosmax Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Cosmax's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Cosmax's standard deviation. In reality, there are many statistical measures that can use Cosmax historical prices to predict the future Cosmax's volatility.| Risk Adjusted Performance | 0.0424 | |||
| Jensen Alpha | 0.1754 | |||
| Total Risk Alpha | (0.38) | |||
| Sortino Ratio | 0.0069 | |||
| Treynor Ratio | (0.51) |
Cosmax Inc Backtested Returns
Cosmax appears to be very steady, given 3 months investment horizon. Cosmax Inc secures Sharpe Ratio (or Efficiency) of 0.0603, which signifies that the company had a 0.0603% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Cosmax Inc, which you can use to evaluate the volatility of the firm. Please makes use of Cosmax's Mean Deviation of 2.4, downside deviation of 3.43, and Risk Adjusted Performance of 0.0424 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Cosmax holds a performance score of 4. The firm shows a Beta (market volatility) of -0.28, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Cosmax are expected to decrease at a much lower rate. During the bear market, Cosmax is likely to outperform the market. Please check Cosmax's jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to make a quick decision on whether Cosmax's price patterns will revert.
Auto-correlation | 0.58 |
Modest predictability
Cosmax Inc has modest predictability. Overlapping area represents the amount of predictability between Cosmax 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 Cosmax Inc price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Cosmax price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 482.9 M |
Cosmax Inc lagged returns against current returns
Autocorrelation, which is Cosmax 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 Cosmax's stock expected returns. We can calculate the autocorrelation of Cosmax returns to help us make a trade decision. For example, suppose you find that Cosmax 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 |
Cosmax 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 Cosmax stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Cosmax stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Cosmax stock over time.
Current vs Lagged Prices |
| Timeline |
Cosmax Lagged Returns
When evaluating Cosmax's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Cosmax stock have on its future price. Cosmax 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, Cosmax autocorrelation shows the relationship between Cosmax stock current value and its past values and can show if there is a momentum factor associated with investing in Cosmax Inc.
Regressed Prices |
| Timeline |
Pair Trading with Cosmax
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 Cosmax 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 Cosmax will appreciate offsetting losses from the drop in the long position's value.Moving against Cosmax Stock
| 0.67 | 005935 | Samsung Electronics | PairCorr |
| 0.64 | 005930 | Samsung Electronics | PairCorr |
| 0.38 | 005385 | Hyundai Motor | PairCorr |
The ability to find closely correlated positions to Cosmax could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Cosmax 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 Cosmax - 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 Cosmax Inc to buy it.
The correlation of Cosmax 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 Cosmax moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Cosmax Inc 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 Cosmax 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.