SK Chemicals (Korea) Market Value
| 285130 Stock | 51,100 100.00 0.20% |
| Symbol | 285130 |
SK Chemicals '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 SK Chemicals' 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 SK Chemicals.
| 08/01/2024 |
| 09/30/2024 |
If you would invest 0.00 in SK Chemicals on August 1, 2024 and sell it all today you would earn a total of 0.00 from holding SK Chemicals Co or generate 0.0% return on investment in SK Chemicals over 60 days. SK Chemicals is related to or competes with LG Chemicals, POSCO Holdings, Hanwha Solutions, Hyundai Steel, Ecopro, Dongkuk Steel, and Korea Petro. More
SK Chemicals 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 SK Chemicals' 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 SK Chemicals Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.56 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 14.57 | |||
| Value At Risk | (2.33) | |||
| Potential Upside | 3.46 |
SK Chemicals Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SK Chemicals' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SK Chemicals' standard deviation. In reality, there are many statistical measures that can use SK Chemicals historical prices to predict the future SK Chemicals' volatility.| Risk Adjusted Performance | 0.0378 | |||
| Jensen Alpha | 0.1229 | |||
| Total Risk Alpha | (0.24) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | (0.20) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SK Chemicals' 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.
SK Chemicals Backtested Returns
At this point, SK Chemicals is very steady. SK Chemicals retains Efficiency (Sharpe Ratio) of 0.0584, which indicates the firm had a 0.0584% return per unit of price deviation over the last 3 months. We have found thirty technical indicators for SK Chemicals, which you can use to evaluate the volatility of the company. Please validate SK Chemicals' Risk Adjusted Performance of 0.0378, mean deviation of 1.42, and Downside Deviation of 2.56 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. SK Chemicals has a performance score of 4 on a scale of 0 to 100. The entity owns a Beta (Systematic Risk) of -0.39, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning SK Chemicals are expected to decrease at a much lower rate. During the bear market, SK Chemicals is likely to outperform the market. SK Chemicals today owns a risk of 2.36%. Please validate SK Chemicals Co market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to decide if SK Chemicals Co will be following its current price history.
Auto-correlation | 0.71 |
Good predictability
SK Chemicals Co has good predictability. Overlapping area represents the amount of predictability between SK Chemicals time series from 1st of August 2024 to 31st of August 2024 and 31st of August 2024 to 30th 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 SK Chemicals price movement. The serial correlation of 0.71 indicates that around 71.0% of current SK Chemicals price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.71 | |
| Spearman Rank Test | 0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 1.7 M |
SK Chemicals lagged returns against current returns
Autocorrelation, which is SK Chemicals 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 SK Chemicals' stock expected returns. We can calculate the autocorrelation of SK Chemicals returns to help us make a trade decision. For example, suppose you find that SK Chemicals 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 |
SK Chemicals 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 SK Chemicals stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SK Chemicals stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SK Chemicals stock over time.
Current vs Lagged Prices |
| Timeline |
SK Chemicals Lagged Returns
When evaluating SK Chemicals' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SK Chemicals stock have on its future price. SK Chemicals 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, SK Chemicals autocorrelation shows the relationship between SK Chemicals stock current value and its past values and can show if there is a momentum factor associated with investing in SK Chemicals Co.
Regressed Prices |
| Timeline |
Pair Trading with SK Chemicals
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 SK Chemicals 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 SK Chemicals will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to SK Chemicals could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SK Chemicals 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 SK Chemicals - 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 SK Chemicals Co to buy it.
The correlation of SK Chemicals 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 SK Chemicals moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SK Chemicals 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 SK Chemicals 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 285130 Stock
SK Chemicals financial ratios help investors to determine whether 285130 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 285130 with respect to the benefits of owning SK Chemicals security.