JUSUNG ENGINEERING (Korea) Market Value
| 036930 Stock | KRW 27,050 200.00 0.74% |
| Symbol | JUSUNG |
JUSUNG ENGINEERING '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 JUSUNG ENGINEERING'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 JUSUNG ENGINEERING.
| 08/30/2024 |
| 09/29/2024 |
If you would invest 0.00 in JUSUNG ENGINEERING on August 30, 2024 and sell it all today you would earn a total of 0.00 from holding JUSUNG ENGINEERING Co or generate 0.0% return on investment in JUSUNG ENGINEERING over 30 days. JUSUNG ENGINEERING is related to or competes with Samsung Electronics, Samsung Electronics, SK Hynix, HMM, Kia Corp, POSCO Holdings, and SK Holdings. ,Ltd. manufactures and sells semiconductor, display, solar cell, and lighting equipment in South Korea and international... More
JUSUNG ENGINEERING 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 JUSUNG ENGINEERING'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 JUSUNG ENGINEERING Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 20.25 | |||
| Value At Risk | (5.94) | |||
| Potential Upside | 5.3 |
JUSUNG ENGINEERING Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for JUSUNG ENGINEERING's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as JUSUNG ENGINEERING's standard deviation. In reality, there are many statistical measures that can use JUSUNG ENGINEERING historical prices to predict the future JUSUNG ENGINEERING's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.23) | |||
| Total Risk Alpha | (0.82) | |||
| Treynor Ratio | 0.7121 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of JUSUNG ENGINEERING's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
JUSUNG ENGINEERING Backtested Returns
JUSUNG ENGINEERING holds Efficiency (Sharpe) Ratio of -0.12, which attests that the entity had a -0.12% return per unit of volatility over the last 3 months. JUSUNG ENGINEERING exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out JUSUNG ENGINEERING's risk adjusted performance of (0.05), and Market Risk Adjusted Performance of 0.7221 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.38, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning JUSUNG ENGINEERING are expected to decrease at a much lower rate. During the bear market, JUSUNG ENGINEERING is likely to outperform the market. At this point, JUSUNG ENGINEERING has a negative expected return of -0.48%. Please make sure to check out JUSUNG ENGINEERING's jensen alpha, treynor ratio, value at risk, as well as the relationship between the total risk alpha and maximum drawdown , to decide if JUSUNG ENGINEERING performance from the past will be repeated at some future point.
Auto-correlation | -0.95 |
Near perfect reversele predictability
JUSUNG ENGINEERING Co has near perfect reversele predictability. Overlapping area represents the amount of predictability between JUSUNG ENGINEERING time series from 30th of August 2024 to 14th of September 2024 and 14th of September 2024 to 29th of September 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 JUSUNG ENGINEERING price movement. The serial correlation of -0.95 indicates that approximately 95.0% of current JUSUNG ENGINEERING price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.95 | |
| Spearman Rank Test | -1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 1.1 M |
JUSUNG ENGINEERING lagged returns against current returns
Autocorrelation, which is JUSUNG ENGINEERING 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 JUSUNG ENGINEERING's stock expected returns. We can calculate the autocorrelation of JUSUNG ENGINEERING returns to help us make a trade decision. For example, suppose you find that JUSUNG ENGINEERING 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 |
JUSUNG ENGINEERING 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 JUSUNG ENGINEERING stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if JUSUNG ENGINEERING stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in JUSUNG ENGINEERING stock over time.
Current vs Lagged Prices |
| Timeline |
JUSUNG ENGINEERING Lagged Returns
When evaluating JUSUNG ENGINEERING's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of JUSUNG ENGINEERING stock have on its future price. JUSUNG ENGINEERING 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, JUSUNG ENGINEERING autocorrelation shows the relationship between JUSUNG ENGINEERING stock current value and its past values and can show if there is a momentum factor associated with investing in JUSUNG ENGINEERING Co.
Regressed Prices |
| Timeline |
Pair Trading with JUSUNG ENGINEERING
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 JUSUNG ENGINEERING 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 JUSUNG ENGINEERING will appreciate offsetting losses from the drop in the long position's value.Moving together with JUSUNG Stock
The ability to find closely correlated positions to JUSUNG ENGINEERING could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace JUSUNG ENGINEERING 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 JUSUNG ENGINEERING - 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 JUSUNG ENGINEERING Co to buy it.
The correlation of JUSUNG ENGINEERING 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 JUSUNG ENGINEERING moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if JUSUNG ENGINEERING 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 JUSUNG ENGINEERING 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.Other Information on Investing in JUSUNG Stock
JUSUNG ENGINEERING financial ratios help investors to determine whether JUSUNG Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in JUSUNG with respect to the benefits of owning JUSUNG ENGINEERING security.