Shengyuan Environmental (China) Market Value
| 300867 Stock | 13.88 0.22 1.61% |
| Symbol | Shengyuan |
Shengyuan Environmental '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 Shengyuan Environmental'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 Shengyuan Environmental.
| 01/31/2024 |
| 11/26/2024 |
If you would invest 0.00 in Shengyuan Environmental on January 31, 2024 and sell it all today you would earn a total of 0.00 from holding Shengyuan Environmental Protection or generate 0.0% return on investment in Shengyuan Environmental over 300 days. Shengyuan Environmental is related to or competes with China Petroleum, PetroChina, China State, China Railway, China Railway, China Mobile, and Industrial. Shengyuan Environmental is entity of China More
Shengyuan Environmental 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 Shengyuan Environmental'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 Shengyuan Environmental Protection upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.73 | |||
| Information Ratio | 0.0837 | |||
| Maximum Drawdown | 23.91 | |||
| Value At Risk | (3.74) | |||
| Potential Upside | 5.52 |
Shengyuan Environmental Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shengyuan Environmental's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shengyuan Environmental's standard deviation. In reality, there are many statistical measures that can use Shengyuan Environmental historical prices to predict the future Shengyuan Environmental's volatility.| Risk Adjusted Performance | 0.1027 | |||
| Jensen Alpha | 0.4152 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | 0.0969 | |||
| Treynor Ratio | (1.41) |
Shengyuan Environmental Backtested Returns
Shengyuan Environmental appears to be somewhat reliable, given 3 months investment horizon. Shengyuan Environmental owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.12, which indicates the firm had a 0.12% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Shengyuan Environmental Protection, which you can use to evaluate the volatility of the company. Please review Shengyuan Environmental's Risk Adjusted Performance of 0.1027, semi deviation of 2.33, and Coefficient Of Variation of 803.55 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Shengyuan Environmental holds a performance score of 9. The entity has a beta of -0.27, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Shengyuan Environmental are expected to decrease at a much lower rate. During the bear market, Shengyuan Environmental is likely to outperform the market. Please check Shengyuan Environmental's semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to make a quick decision on whether Shengyuan Environmental's existing price patterns will revert.
Auto-correlation | -0.15 |
Insignificant reverse predictability
Shengyuan Environmental Protection has insignificant reverse predictability. Overlapping area represents the amount of predictability between Shengyuan Environmental time series from 31st of January 2024 to 29th of June 2024 and 29th of June 2024 to 26th 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 Shengyuan Environmental price movement. The serial correlation of -0.15 indicates that less than 15.0% of current Shengyuan Environmental price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | -0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 2.08 |
Shengyuan Environmental lagged returns against current returns
Autocorrelation, which is Shengyuan Environmental 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 Shengyuan Environmental's stock expected returns. We can calculate the autocorrelation of Shengyuan Environmental returns to help us make a trade decision. For example, suppose you find that Shengyuan Environmental 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 |
Shengyuan Environmental 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 Shengyuan Environmental stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shengyuan Environmental stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shengyuan Environmental stock over time.
Current vs Lagged Prices |
| Timeline |
Shengyuan Environmental Lagged Returns
When evaluating Shengyuan Environmental's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shengyuan Environmental stock have on its future price. Shengyuan Environmental 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, Shengyuan Environmental autocorrelation shows the relationship between Shengyuan Environmental stock current value and its past values and can show if there is a momentum factor associated with investing in Shengyuan Environmental Protection.
Regressed Prices |
| Timeline |
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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 Shengyuan Stock
Shengyuan Environmental financial ratios help investors to determine whether Shengyuan 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 Shengyuan with respect to the benefits of owning Shengyuan Environmental security.