Samsung KODEX (Korea) Market Value
| 278530 Etf | 11,685 100.00 0.86% |
| Symbol | Samsung |
Samsung KODEX '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 Samsung KODEX's etf 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 Samsung KODEX.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Samsung KODEX on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Samsung KODEX 200 or generate 0.0% return on investment in Samsung KODEX over 30 days.
Samsung KODEX 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 Samsung KODEX's etf 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 Samsung KODEX 200 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 5.69 | |||
| Value At Risk | (2.21) | |||
| Potential Upside | 2.21 |
Samsung KODEX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samsung KODEX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samsung KODEX's standard deviation. In reality, there are many statistical measures that can use Samsung KODEX historical prices to predict the future Samsung KODEX's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.30) | |||
| Treynor Ratio | 2.52 |
Samsung KODEX 200 Backtested Returns
Samsung KODEX 200 owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.13, which indicates the etf had a -0.13% return per unit of risk over the last 3 months. Samsung KODEX 200 exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Samsung KODEX's Risk Adjusted Performance of (0.07), coefficient of variation of (1,107), and Variance of 1.37 to confirm the risk estimate we provide. The entity has a beta of -0.0459, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Samsung KODEX are expected to decrease at a much lower rate. During the bear market, Samsung KODEX is likely to outperform the market.
Auto-correlation | -0.04 |
Very weak reverse predictability
Samsung KODEX 200 has very weak reverse predictability. Overlapping area represents the amount of predictability between Samsung KODEX time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 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 Samsung KODEX 200 price movement. The serial correlation of -0.04 indicates that only as little as 4.0% of current Samsung KODEX price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.04 | |
| Spearman Rank Test | -0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 36.7 K |
Samsung KODEX 200 lagged returns against current returns
Autocorrelation, which is Samsung KODEX etf'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 Samsung KODEX's etf expected returns. We can calculate the autocorrelation of Samsung KODEX returns to help us make a trade decision. For example, suppose you find that Samsung KODEX has exhibited high autocorrelation historically, and you observe that the etf 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 |
Samsung KODEX 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 Samsung KODEX etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samsung KODEX etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samsung KODEX etf over time.
Current vs Lagged Prices |
| Timeline |
Samsung KODEX Lagged Returns
When evaluating Samsung KODEX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samsung KODEX etf have on its future price. Samsung KODEX 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, Samsung KODEX autocorrelation shows the relationship between Samsung KODEX etf current value and its past values and can show if there is a momentum factor associated with investing in Samsung KODEX 200.
Regressed Prices |
| Timeline |
Pair Trading with Samsung KODEX
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 Samsung KODEX 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 Samsung KODEX will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Samsung KODEX could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Samsung KODEX 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 Samsung KODEX - 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 Samsung KODEX 200 to buy it.
The correlation of Samsung KODEX 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 Samsung KODEX moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Samsung KODEX 200 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 Samsung KODEX 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.