Lotte Reit (Korea) Market Value
| 330590 Stock | 3,085 90.00 3.01% |
| Symbol | Lotte |
Lotte Reit '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 Lotte Reit'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 Lotte Reit.
| 07/20/2023 |
| 12/11/2024 |
If you would invest 0.00 in Lotte Reit on July 20, 2023 and sell it all today you would earn a total of 0.00 from holding Lotte Reit Co or generate 0.0% return on investment in Lotte Reit over 510 days.
Lotte Reit 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 Lotte Reit'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 Lotte Reit Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.32) | |||
| Maximum Drawdown | 7.34 | |||
| Value At Risk | (3.07) | |||
| Potential Upside | 2.22 |
Lotte Reit Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lotte Reit's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lotte Reit's standard deviation. In reality, there are many statistical measures that can use Lotte Reit historical prices to predict the future Lotte Reit's volatility.| Risk Adjusted Performance | (0.17) | |||
| Jensen Alpha | (0.40) | |||
| Total Risk Alpha | (0.60) | |||
| Treynor Ratio | (1.17) |
Lotte Reit Backtested Returns
Lotte Reit has Sharpe Ratio of -0.27, which conveys that the firm had a -0.27% return per unit of risk over the last 3 months. Lotte Reit exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Lotte Reit's Mean Deviation of 1.16, risk adjusted performance of (0.17), and Standard Deviation of 1.5 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.31, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Lotte Reit's returns are expected to increase less than the market. However, during the bear market, the loss of holding Lotte Reit is expected to be smaller as well. At this point, Lotte Reit has a negative expected return of -0.4%. Please make sure to verify Lotte Reit's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Lotte Reit performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.39 |
Poor reverse predictability
Lotte Reit Co has poor reverse predictability. Overlapping area represents the amount of predictability between Lotte Reit time series from 20th of July 2023 to 31st of March 2024 and 31st of March 2024 to 11th 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 Lotte Reit price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Lotte Reit price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 83.7 K |
Lotte Reit lagged returns against current returns
Autocorrelation, which is Lotte Reit 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 Lotte Reit's stock expected returns. We can calculate the autocorrelation of Lotte Reit returns to help us make a trade decision. For example, suppose you find that Lotte Reit 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 |
Lotte Reit 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 Lotte Reit stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lotte Reit stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lotte Reit stock over time.
Current vs Lagged Prices |
| Timeline |
Lotte Reit Lagged Returns
When evaluating Lotte Reit's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lotte Reit stock have on its future price. Lotte Reit 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, Lotte Reit autocorrelation shows the relationship between Lotte Reit stock current value and its past values and can show if there is a momentum factor associated with investing in Lotte Reit Co.
Regressed Prices |
| Timeline |
Pair Trading with Lotte Reit
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 Lotte Reit 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 Lotte Reit will appreciate offsetting losses from the drop in the long position's value.Moving together with Lotte Stock
The ability to find closely correlated positions to Lotte Reit could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Lotte Reit 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 Lotte Reit - 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 Lotte Reit Co to buy it.
The correlation of Lotte Reit 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 Lotte Reit moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Lotte Reit 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 Lotte Reit 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.