CFI Holding (Poland) Market Value
| CFI Stock | 0.19 0.02 11.76% |
| Symbol | CFI |
CFI Holding '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 CFI Holding'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 CFI Holding.
| 12/08/2022 |
| 11/27/2024 |
If you would invest 0.00 in CFI Holding on December 8, 2022 and sell it all today you would earn a total of 0.00 from holding CFI Holding SA or generate 0.0% return on investment in CFI Holding over 720 days.
CFI Holding 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 CFI Holding'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 CFI Holding SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 35.0 | |||
| Value At Risk | (4.76) | |||
| Potential Upside | 6.25 |
CFI Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CFI Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CFI Holding's standard deviation. In reality, there are many statistical measures that can use CFI Holding historical prices to predict the future CFI Holding's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.81) | |||
| Treynor Ratio | (0.21) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CFI Holding'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.
CFI Holding SA Backtested Returns
CFI Holding SA secures Sharpe Ratio (or Efficiency) of -0.0289, which signifies that the company had a -0.0289% return per unit of return volatility over the last 3 months. CFI Holding SA exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm CFI Holding's Coefficient Of Variation of (3,736), risk adjusted performance of (0.01), and Mean Deviation of 1.99 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.61, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, CFI Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding CFI Holding is expected to be smaller as well. At this point, CFI Holding SA has a negative expected return of -0.13%. Please make sure to confirm CFI Holding's total risk alpha and the relationship between the skewness and period momentum indicator , to decide if CFI Holding SA performance from the past will be repeated in the future.
Auto-correlation | -0.27 |
Weak reverse predictability
CFI Holding SA has weak reverse predictability. Overlapping area represents the amount of predictability between CFI Holding time series from 8th of December 2022 to 3rd of December 2023 and 3rd of December 2023 to 27th 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 CFI Holding SA price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current CFI Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | 0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
CFI Holding SA lagged returns against current returns
Autocorrelation, which is CFI Holding 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 CFI Holding's stock expected returns. We can calculate the autocorrelation of CFI Holding returns to help us make a trade decision. For example, suppose you find that CFI Holding 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 |
CFI Holding 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 CFI Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CFI Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CFI Holding stock over time.
Current vs Lagged Prices |
| Timeline |
CFI Holding Lagged Returns
When evaluating CFI Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CFI Holding stock have on its future price. CFI Holding 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, CFI Holding autocorrelation shows the relationship between CFI Holding stock current value and its past values and can show if there is a momentum factor associated with investing in CFI Holding SA.
Regressed Prices |
| Timeline |
Pair Trading with CFI Holding
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if CFI Holding position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in CFI Holding will appreciate offsetting losses from the drop in the long position's value.Moving against CFI Stock
The ability to find closely correlated positions to CFI Holding could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CFI Holding when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back CFI Holding - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling CFI Holding SA to buy it.
The correlation of CFI Holding is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as CFI Holding moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CFI Holding SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for CFI Holding can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for CFI Stock Analysis
When running CFI Holding's price analysis, check to measure CFI Holding'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 CFI Holding is operating at the current time. Most of CFI Holding's value examination focuses on studying past and present price action to predict the probability of CFI Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move CFI Holding's price. Additionally, you may evaluate how the addition of CFI Holding to your portfolios can decrease your overall portfolio volatility.