Maeil Dairies (Korea) Market Value
| 267980 Stock | KRW 37,800 250.00 0.66% |
| Symbol | Maeil |
Maeil Dairies '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 Maeil Dairies' 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 Maeil Dairies.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Maeil Dairies on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Maeil Dairies Co or generate 0.0% return on investment in Maeil Dairies over 30 days. Maeil Dairies is related to or competes with Dongwoo Farm, Wing Yip, Busan Industrial, Finebesteel, Shinhan Inverse, and Fine Besteel. Maeil Dairies Co., Ltd. produces, sells, and exports milk products and baby foods in Korea and internationally More
Maeil Dairies 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 Maeil Dairies' 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 Maeil Dairies Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 3.85 | |||
| Value At Risk | (1.18) | |||
| Potential Upside | 1.52 |
Maeil Dairies Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Maeil Dairies' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Maeil Dairies' standard deviation. In reality, there are many statistical measures that can use Maeil Dairies historical prices to predict the future Maeil Dairies' volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.20) | |||
| Treynor Ratio | 0.3136 |
Maeil Dairies Backtested Returns
Maeil Dairies has Sharpe Ratio of -0.0747, which conveys that the firm had a -0.0747% return per unit of risk over the last 3 months. Maeil Dairies exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Maeil Dairies' Risk Adjusted Performance of (0.05), standard deviation of 0.8247, and Mean Deviation of 0.6285 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.22, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Maeil Dairies are expected to decrease at a much lower rate. During the bear market, Maeil Dairies is likely to outperform the market. At this point, Maeil Dairies has a negative expected return of -0.0644%. Please make sure to verify Maeil Dairies' market risk adjusted performance, coefficient of variation, jensen alpha, as well as the relationship between the mean deviation and standard deviation , to decide if Maeil Dairies performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.54 |
Good reverse predictability
Maeil Dairies Co has good reverse predictability. Overlapping area represents the amount of predictability between Maeil Dairies time series from 28th of October 2024 to 12th of November 2024 and 12th of November 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 Maeil Dairies price movement. The serial correlation of -0.54 indicates that about 54.0% of current Maeil Dairies price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 261 K |
Maeil Dairies lagged returns against current returns
Autocorrelation, which is Maeil Dairies 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 Maeil Dairies' stock expected returns. We can calculate the autocorrelation of Maeil Dairies returns to help us make a trade decision. For example, suppose you find that Maeil Dairies 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 |
Maeil Dairies 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 Maeil Dairies stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Maeil Dairies stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Maeil Dairies stock over time.
Current vs Lagged Prices |
| Timeline |
Maeil Dairies Lagged Returns
When evaluating Maeil Dairies' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Maeil Dairies stock have on its future price. Maeil Dairies 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, Maeil Dairies autocorrelation shows the relationship between Maeil Dairies stock current value and its past values and can show if there is a momentum factor associated with investing in Maeil Dairies Co.
Regressed Prices |
| Timeline |
Pair Trading with Maeil Dairies
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 Maeil Dairies 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 Maeil Dairies will appreciate offsetting losses from the drop in the long position's value.Moving together with Maeil Stock
Moving against Maeil Stock
| 0.84 | 311390 | Neo Cremar | PairCorr |
| 0.73 | 105560 | KB Financial Group | PairCorr |
| 0.71 | 024110 | Industrial Bank | PairCorr |
| 0.62 | 032830 | Samsung Life | PairCorr |
| 0.54 | 316140 | Woori Financial Group | PairCorr |
The ability to find closely correlated positions to Maeil Dairies could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Maeil Dairies 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 Maeil Dairies - 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 Maeil Dairies Co to buy it.
The correlation of Maeil Dairies 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 Maeil Dairies moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Maeil Dairies 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 Maeil Dairies 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 Maeil Stock
Maeil Dairies financial ratios help investors to determine whether Maeil 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 Maeil with respect to the benefits of owning Maeil Dairies security.