Shinhan Copper (Korea) Market Value
| 500018 Etf | 18,580 40.00 0.21% |
| Symbol | Shinhan |
Shinhan Copper '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 Copper'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 Copper.
| 06/01/2024 |
| 11/28/2024 |
If you would invest 0.00 in Shinhan Copper on June 1, 2024 and sell it all today you would earn a total of 0.00 from holding Shinhan Copper Futures or generate 0.0% return on investment in Shinhan Copper over 180 days.
Shinhan Copper 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 Copper'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 Copper Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.35 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 6.34 | |||
| Value At Risk | (2.12) | |||
| Potential Upside | 2.3 |
Shinhan Copper Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shinhan Copper's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shinhan Copper's standard deviation. In reality, there are many statistical measures that can use Shinhan Copper historical prices to predict the future Shinhan Copper's volatility.| Risk Adjusted Performance | 0.0192 | |||
| Jensen Alpha | 0.0504 | |||
| Total Risk Alpha | (0.19) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | (0.05) |
Shinhan Copper Futures Backtested Returns
Shinhan Copper Futures owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0309, which indicates the etf had a -0.0309% return per unit of risk over the last 3 months. Shinhan Copper Futures exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Shinhan Copper's Risk Adjusted Performance of 0.0192, semi deviation of 1.25, and Coefficient Of Variation of 5160.04 to confirm the risk estimate we provide. The entity has a beta of -0.3, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Shinhan Copper are expected to decrease at a much lower rate. During the bear market, Shinhan Copper is likely to outperform the market.
Auto-correlation | 0.09 |
Virtually no predictability
Shinhan Copper Futures has virtually no predictability. Overlapping area represents the amount of predictability between Shinhan Copper time series from 1st of June 2024 to 30th of August 2024 and 30th of August 2024 to 28th 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 Copper Futures price movement. The serial correlation of 0.09 indicates that less than 9.0% of current Shinhan Copper price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | 0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 507.5 K |
Shinhan Copper Futures lagged returns against current returns
Autocorrelation, which is Shinhan Copper 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 Copper's etf expected returns. We can calculate the autocorrelation of Shinhan Copper returns to help us make a trade decision. For example, suppose you find that Shinhan Copper 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 Copper 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 Copper etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shinhan Copper etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shinhan Copper etf over time.
Current vs Lagged Prices |
| Timeline |
Shinhan Copper Lagged Returns
When evaluating Shinhan Copper's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shinhan Copper etf have on its future price. Shinhan Copper 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 Copper autocorrelation shows the relationship between Shinhan Copper etf current value and its past values and can show if there is a momentum factor associated with investing in Shinhan Copper Futures.
Regressed Prices |
| Timeline |
Pair Trading with Shinhan Copper
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 Copper 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 Copper will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Shinhan Copper 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 Copper 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 Copper - 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 Copper Futures to buy it.
The correlation of Shinhan Copper 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 Copper moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Shinhan Copper Futures 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 Copper 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.