Shaanxi Construction (China) Market Value
| 600984 Stock | 3.39 0.16 4.51% |
| Symbol | Shaanxi |
Shaanxi Construction '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 Shaanxi Construction'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 Shaanxi Construction.
| 08/25/2024 |
| 11/23/2024 |
If you would invest 0.00 in Shaanxi Construction on August 25, 2024 and sell it all today you would earn a total of 0.00 from holding Shaanxi Construction Machinery or generate 0.0% return on investment in Shaanxi Construction over 90 days. Shaanxi Construction is related to or competes with Cambricon Technologies, Loongson Technology, Chongqing Road, Shenzhen Fortune, Wuhan Xianglong, Hainan Shuangcheng, and Empyrean Technology. Shaanxi Construction is entity of China. It is traded as Stock on SHG exchange. More
Shaanxi Construction 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 Shaanxi Construction'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 Shaanxi Construction Machinery upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.32 | |||
| Information Ratio | 0.1176 | |||
| Maximum Drawdown | 18.3 | |||
| Value At Risk | (4.76) | |||
| Potential Upside | 8.3 |
Shaanxi Construction Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shaanxi Construction's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shaanxi Construction's standard deviation. In reality, there are many statistical measures that can use Shaanxi Construction historical prices to predict the future Shaanxi Construction's volatility.| Risk Adjusted Performance | 0.1238 | |||
| Jensen Alpha | 0.6084 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.1394 | |||
| Treynor Ratio | (2.78) |
Shaanxi Construction Backtested Returns
Shaanxi Construction appears to be very risky, given 3 months investment horizon. Shaanxi Construction owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.18, which indicates the firm had a 0.18% return per unit of risk over the last 3 months. By inspecting Shaanxi Construction's technical indicators, you can evaluate if the expected return of 0.73% is justified by implied risk. Please review Shaanxi Construction's Coefficient Of Variation of 662.72, semi deviation of 2.74, and Risk Adjusted Performance of 0.1238 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Shaanxi Construction holds a performance score of 14. The entity has a beta of -0.21, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Shaanxi Construction are expected to decrease at a much lower rate. During the bear market, Shaanxi Construction is likely to outperform the market. Please check Shaanxi Construction's downside deviation, standard deviation, and the relationship between the semi deviation and coefficient of variation , to make a quick decision on whether Shaanxi Construction's existing price patterns will revert.
Auto-correlation | 0.56 |
Modest predictability
Shaanxi Construction Machinery has modest predictability. Overlapping area represents the amount of predictability between Shaanxi Construction time series from 25th of August 2024 to 9th of October 2024 and 9th of October 2024 to 23rd 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 Shaanxi Construction price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current Shaanxi Construction price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 0.23 |
Shaanxi Construction lagged returns against current returns
Autocorrelation, which is Shaanxi Construction 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 Shaanxi Construction's stock expected returns. We can calculate the autocorrelation of Shaanxi Construction returns to help us make a trade decision. For example, suppose you find that Shaanxi Construction 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 |
Shaanxi Construction 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 Shaanxi Construction stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shaanxi Construction stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shaanxi Construction stock over time.
Current vs Lagged Prices |
| Timeline |
Shaanxi Construction Lagged Returns
When evaluating Shaanxi Construction's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shaanxi Construction stock have on its future price. Shaanxi Construction 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, Shaanxi Construction autocorrelation shows the relationship between Shaanxi Construction stock current value and its past values and can show if there is a momentum factor associated with investing in Shaanxi Construction Machinery.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Shaanxi Stock
Shaanxi Construction financial ratios help investors to determine whether Shaanxi 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 Shaanxi with respect to the benefits of owning Shaanxi Construction security.