CNH Industrial (Germany) Market Value
| 37C Stock | EUR 11.92 0.41 3.56% |
| Symbol | CNH |
CNH Industrial '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 CNH Industrial'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 CNH Industrial.
| 04/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in CNH Industrial on April 6, 2024 and sell it all today you would earn a total of 0.00 from holding CNH Industrial NV or generate 0.0% return on investment in CNH Industrial over 240 days. CNH Industrial is related to or competes with Zijin Mining, MCEWEN MINING, GUARDANT HEALTH, Jacquet Metal, Treasury Wine, ATRYS HEALTH, and GREENX METALS. More
CNH Industrial 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 CNH Industrial'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 CNH Industrial NV upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.24 | |||
| Information Ratio | 0.1764 | |||
| Maximum Drawdown | 9.15 | |||
| Value At Risk | (1.50) | |||
| Potential Upside | 3.56 |
CNH Industrial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CNH Industrial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CNH Industrial's standard deviation. In reality, there are many statistical measures that can use CNH Industrial historical prices to predict the future CNH Industrial's volatility.| Risk Adjusted Performance | 0.203 | |||
| Jensen Alpha | 0.3698 | |||
| Total Risk Alpha | 0.1435 | |||
| Sortino Ratio | 0.1319 | |||
| Treynor Ratio | 1.0 |
CNH Industrial NV Backtested Returns
CNH Industrial appears to be not too volatile, given 3 months investment horizon. CNH Industrial NV secures Sharpe Ratio (or Efficiency) of 0.24, which signifies that the company had a 0.24% return per unit of return volatility over the last 3 months. We have found twenty-seven technical indicators for CNH Industrial NV, which you can use to evaluate the volatility of the firm. Please makes use of CNH Industrial's Mean Deviation of 1.1, semi deviation of 0.8128, and Risk Adjusted Performance of 0.203 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CNH Industrial holds a performance score of 19. The firm shows a Beta (market volatility) of 0.42, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, CNH Industrial's returns are expected to increase less than the market. However, during the bear market, the loss of holding CNH Industrial is expected to be smaller as well. Please check CNH Industrial's information ratio, treynor ratio, and the relationship between the downside deviation and total risk alpha , to make a quick decision on whether CNH Industrial's price patterns will revert.
Auto-correlation | -0.77 |
Almost perfect reverse predictability
CNH Industrial NV has almost perfect reverse predictability. Overlapping area represents the amount of predictability between CNH Industrial time series from 6th of April 2024 to 4th of August 2024 and 4th of August 2024 to 2nd of December 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 CNH Industrial NV price movement. The serial correlation of -0.77 indicates that around 77.0% of current CNH Industrial price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.77 | |
| Spearman Rank Test | -0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.61 |
CNH Industrial NV lagged returns against current returns
Autocorrelation, which is CNH Industrial 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 CNH Industrial's stock expected returns. We can calculate the autocorrelation of CNH Industrial returns to help us make a trade decision. For example, suppose you find that CNH Industrial 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 |
CNH Industrial 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 CNH Industrial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CNH Industrial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CNH Industrial stock over time.
Current vs Lagged Prices |
| Timeline |
CNH Industrial Lagged Returns
When evaluating CNH Industrial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CNH Industrial stock have on its future price. CNH Industrial 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, CNH Industrial autocorrelation shows the relationship between CNH Industrial stock current value and its past values and can show if there is a momentum factor associated with investing in CNH Industrial NV.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for CNH Stock Analysis
When running CNH Industrial's price analysis, check to measure CNH Industrial's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy CNH Industrial is operating at the current time. Most of CNH Industrial's value examination focuses on studying past and present price action to predict the probability of CNH Industrial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move CNH Industrial's price. Additionally, you may evaluate how the addition of CNH Industrial to your portfolios can decrease your overall portfolio volatility.