Kosdaq Composite (Korea) Market Value
| KOSDAQ Index | 862.25 16.68 1.97% |
| Symbol | Kosdaq |
Kosdaq Composite '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 Kosdaq Composite's index 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 Kosdaq Composite.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Kosdaq Composite on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Kosdaq Composite Index or generate 0.0% return on investment in Kosdaq Composite over 30 days.
Kosdaq Composite 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 Kosdaq Composite's index 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 Kosdaq Composite Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.06 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 4.55 | |||
| Value At Risk | (2.16) | |||
| Potential Upside | 1.81 |
Kosdaq Composite Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Kosdaq Composite's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Kosdaq Composite's standard deviation. In reality, there are many statistical measures that can use Kosdaq Composite historical prices to predict the future Kosdaq Composite's volatility.| Risk Adjusted Performance | 0.0205 | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.06) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Kosdaq Composite'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.
Please note, it is not enough to conduct a financial or market analysis of a single entity such as Kosdaq Composite. Your research has to be compared to or analyzed against Kosdaq Composite's peers to derive any actionable benefits. When done correctly, Kosdaq Composite's competitive analysis will give you plenty of quantitative and qualitative data to validate your investment decisions or develop an entirely new strategy toward taking a position in Kosdaq Composite Index.
Kosdaq Composite Index Backtested Returns
Kosdaq Composite Index has Sharpe Ratio of 0.0714, which conveys that the entity had a 0.0714% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Kosdaq Composite, which you can use to evaluate the volatility of the index. The index secures a Beta (Market Risk) of 0.0, which conveys not very significant fluctuations relative to the market. the returns on MARKET and Kosdaq Composite are completely uncorrelated.
Auto-correlation | -0.04 |
Very weak reverse predictability
Kosdaq Composite Index has very weak reverse predictability. Overlapping area represents the amount of predictability between Kosdaq Composite time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th of April 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 Kosdaq Composite Index price movement. The serial correlation of -0.04 indicates that only as little as 4.0% of current Kosdaq Composite price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.04 | |
| Spearman Rank Test | 0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 103.16 |
Kosdaq Composite Index lagged returns against current returns
Autocorrelation, which is Kosdaq Composite index'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 Kosdaq Composite's index expected returns. We can calculate the autocorrelation of Kosdaq Composite returns to help us make a trade decision. For example, suppose you find that Kosdaq Composite has exhibited high autocorrelation historically, and you observe that the index 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 |
Kosdaq Composite 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 Kosdaq Composite index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Kosdaq Composite index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Kosdaq Composite index over time.
Current vs Lagged Prices |
| Timeline |
Kosdaq Composite Lagged Returns
When evaluating Kosdaq Composite's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Kosdaq Composite index have on its future price. Kosdaq Composite 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, Kosdaq Composite autocorrelation shows the relationship between Kosdaq Composite index current value and its past values and can show if there is a momentum factor associated with investing in Kosdaq Composite Index.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Correlation Analysis to better understand how to build diversified portfolios. Also, note that the market value of any index could be tightly coupled with the direction of predictive economic indicators such as signals in nation. Note that the Kosdaq Composite Index information on this page should be used as a complementary analysis to other Kosdaq Composite's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
Kosdaq Composite technical index analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, index market cycles, or different charting patterns.