Shinhan BNP (Korea) Market Value
| 295040 Etf | 11,925 205.00 1.69% |
| Symbol | Shinhan |
Shinhan BNP '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 Shinhan BNP'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 Shinhan BNP.
| 06/05/2024 |
| 12/02/2024 |
If you would invest 0.00 in Shinhan BNP on June 5, 2024 and sell it all today you would earn a total of 0.00 from holding Shinhan BNP Paribas or generate 0.0% return on investment in Shinhan BNP over 180 days.
Shinhan BNP 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 Shinhan BNP'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 Shinhan BNP Paribas upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.27) | |||
| Maximum Drawdown | 5.61 | |||
| Value At Risk | (2.29) | |||
| Potential Upside | 1.7 |
Shinhan BNP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shinhan BNP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shinhan BNP's standard deviation. In reality, there are many statistical measures that can use Shinhan BNP historical prices to predict the future Shinhan BNP's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.38) | |||
| Treynor Ratio | (1.38) |
Shinhan BNP Paribas Backtested Returns
Shinhan BNP Paribas owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.12, which indicates the etf had a -0.12% return per unit of risk over the last 3 months. Shinhan BNP Paribas exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Shinhan BNP's Variance of 1.34, risk adjusted performance of (0.11), and Coefficient Of Variation of (672.60) to confirm the risk estimate we provide. The entity has a beta of 0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Shinhan BNP's returns are expected to increase less than the market. However, during the bear market, the loss of holding Shinhan BNP is expected to be smaller as well.
Auto-correlation | 0.66 |
Good predictability
Shinhan BNP Paribas has good predictability. Overlapping area represents the amount of predictability between Shinhan BNP time series from 5th of June 2024 to 3rd of September 2024 and 3rd of September 2024 to 2nd of December 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 Shinhan BNP Paribas price movement. The serial correlation of 0.66 indicates that around 66.0% of current Shinhan BNP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 98.1 K |
Shinhan BNP Paribas lagged returns against current returns
Autocorrelation, which is Shinhan BNP 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 Shinhan BNP's etf expected returns. We can calculate the autocorrelation of Shinhan BNP returns to help us make a trade decision. For example, suppose you find that Shinhan BNP 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 |
Shinhan BNP 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 Shinhan BNP etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shinhan BNP etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shinhan BNP etf over time.
Current vs Lagged Prices |
| Timeline |
Shinhan BNP Lagged Returns
When evaluating Shinhan BNP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shinhan BNP etf have on its future price. Shinhan BNP 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, Shinhan BNP autocorrelation shows the relationship between Shinhan BNP etf current value and its past values and can show if there is a momentum factor associated with investing in Shinhan BNP Paribas.
Regressed Prices |
| Timeline |
Pair Trading with Shinhan BNP
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 Shinhan BNP 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 Shinhan BNP will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Shinhan BNP could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Shinhan BNP 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 Shinhan BNP - 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 Shinhan BNP Paribas to buy it.
The correlation of Shinhan BNP 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 Shinhan BNP moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Shinhan BNP Paribas 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 Shinhan BNP 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.