Shinhan Dollar (Korea) Market Value
| 500011 Etf | 13,340 80.00 0.60% |
| Symbol | Shinhan |
Shinhan Dollar '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 Dollar'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 Dollar.
| 11/30/2023 |
| 11/24/2024 |
If you would invest 0.00 in Shinhan Dollar on November 30, 2023 and sell it all today you would earn a total of 0.00 from holding Shinhan Dollar Index or generate 0.0% return on investment in Shinhan Dollar over 360 days.
Shinhan Dollar 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 Dollar'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 Dollar Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3989 | |||
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 2.31 | |||
| Value At Risk | (0.55) | |||
| Potential Upside | 0.8365 |
Shinhan Dollar Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shinhan Dollar's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shinhan Dollar's standard deviation. In reality, there are many statistical measures that can use Shinhan Dollar historical prices to predict the future Shinhan Dollar's volatility.| Risk Adjusted Performance | 0.1012 | |||
| Jensen Alpha | 0.0592 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.17) | |||
| Treynor Ratio | (1.16) |
Shinhan Dollar Index Backtested Returns
Shinhan Dollar appears to be very steady, given 3 months investment horizon. Shinhan Dollar Index owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.49, which indicates the etf had a 0.49% return per unit of risk over the last 3 months. We have found thirty technical indicators for Shinhan Dollar Index, which you can use to evaluate the volatility of the etf. Please review Shinhan Dollar's Risk Adjusted Performance of 0.1012, coefficient of variation of 708.78, and Semi Deviation of 0.2329 to confirm if our risk estimates are consistent with your expectations. The entity has a beta of -0.0463, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Shinhan Dollar are expected to decrease at a much lower rate. During the bear market, Shinhan Dollar is likely to outperform the market.
Auto-correlation | -0.87 |
Excellent reverse predictability
Shinhan Dollar Index has excellent reverse predictability. Overlapping area represents the amount of predictability between Shinhan Dollar time series from 30th of November 2023 to 28th of May 2024 and 28th of May 2024 to 24th 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 Shinhan Dollar Index price movement. The serial correlation of -0.87 indicates that approximately 87.0% of current Shinhan Dollar price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.87 | |
| Spearman Rank Test | -0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 24 K |
Shinhan Dollar Index lagged returns against current returns
Autocorrelation, which is Shinhan Dollar 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 Dollar's etf expected returns. We can calculate the autocorrelation of Shinhan Dollar returns to help us make a trade decision. For example, suppose you find that Shinhan Dollar 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 Dollar 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 Dollar etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shinhan Dollar etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shinhan Dollar etf over time.
Current vs Lagged Prices |
| Timeline |
Shinhan Dollar Lagged Returns
When evaluating Shinhan Dollar's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shinhan Dollar etf have on its future price. Shinhan Dollar 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 Dollar autocorrelation shows the relationship between Shinhan Dollar etf current value and its past values and can show if there is a momentum factor associated with investing in Shinhan Dollar Index.
Regressed Prices |
| Timeline |
Pair Trading with Shinhan Dollar
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 Dollar 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 Dollar will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Shinhan Dollar 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 Dollar 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 Dollar - 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 Dollar Index to buy it.
The correlation of Shinhan Dollar 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 Dollar moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Shinhan Dollar Index 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 Dollar 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.