CITIC Guoan (China) Market Value
| 000839 Stock | 3.51 0.09 2.63% |
| Symbol | CITIC |
CITIC Guoan '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 CITIC Guoan'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 CITIC Guoan.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in CITIC Guoan on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding CITIC Guoan Information or generate 0.0% return on investment in CITIC Guoan over 30 days. CITIC Guoan is related to or competes with China Petroleum, PetroChina, China State, China Railway, China Railway, China Mobile, and Industrial. CITIC Guoan is entity of China. It is traded as Stock on SHE exchange. More
CITIC Guoan 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 CITIC Guoan'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 CITIC Guoan Information upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.65 | |||
| Information Ratio | 0.1571 | |||
| Maximum Drawdown | 19.08 | |||
| Value At Risk | (6.07) | |||
| Potential Upside | 10.03 |
CITIC Guoan Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CITIC Guoan's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CITIC Guoan's standard deviation. In reality, there are many statistical measures that can use CITIC Guoan historical prices to predict the future CITIC Guoan's volatility.| Risk Adjusted Performance | 0.1537 | |||
| Jensen Alpha | 0.8401 | |||
| Total Risk Alpha | 0.0871 | |||
| Sortino Ratio | 0.1779 | |||
| Treynor Ratio | (1.55) |
CITIC Guoan Information Backtested Returns
CITIC Guoan appears to be very risky, given 3 months investment horizon. CITIC Guoan Information secures Sharpe Ratio (or Efficiency) of 0.21, which signifies that the company had a 0.21% return per unit of volatility over the last 3 months. By reviewing CITIC Guoan's technical indicators, you can evaluate if the expected return of 0.91% is justified by implied risk. Please makes use of CITIC Guoan's risk adjusted performance of 0.1537, and Mean Deviation of 3.01 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CITIC Guoan holds a performance score of 16. The firm shows a Beta (market volatility) of -0.5, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning CITIC Guoan are expected to decrease at a much lower rate. During the bear market, CITIC Guoan is likely to outperform the market. Please check CITIC Guoan's standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether CITIC Guoan's price patterns will revert.
Auto-correlation | -0.23 |
Weak reverse predictability
CITIC Guoan Information has weak reverse predictability. Overlapping area represents the amount of predictability between CITIC Guoan time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 CITIC Guoan Information price movement. The serial correlation of -0.23 indicates that over 23.0% of current CITIC Guoan price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | -0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
CITIC Guoan Information lagged returns against current returns
Autocorrelation, which is CITIC Guoan 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 CITIC Guoan's stock expected returns. We can calculate the autocorrelation of CITIC Guoan returns to help us make a trade decision. For example, suppose you find that CITIC Guoan 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 |
CITIC Guoan 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 CITIC Guoan stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CITIC Guoan stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CITIC Guoan stock over time.
Current vs Lagged Prices |
| Timeline |
CITIC Guoan Lagged Returns
When evaluating CITIC Guoan's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CITIC Guoan stock have on its future price. CITIC Guoan 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, CITIC Guoan autocorrelation shows the relationship between CITIC Guoan stock current value and its past values and can show if there is a momentum factor associated with investing in CITIC Guoan Information.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in CITIC Stock
CITIC Guoan financial ratios help investors to determine whether CITIC 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 CITIC with respect to the benefits of owning CITIC Guoan security.