CME (Brazil) Market Value
| CHME34 Stock | BRL 331.99 6.48 1.99% |
| Symbol | CME |
CME '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 CME'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 CME.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in CME on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding CME Group or generate 0.0% return on investment in CME over 30 days. CME is related to or competes with BIONTECH, Automatic Data, Micron Technology, Taiwan Semiconductor, Extra Space, and Costco Wholesale. CME Group Inc., together with its subsidiaries, operates contract markets for the trading of futures and options on futu... More
CME 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 CME'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 CME Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0774 | |||
| Maximum Drawdown | 8.95 | |||
| Potential Upside | 1.94 |
CME Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CME's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CME's standard deviation. In reality, there are many statistical measures that can use CME historical prices to predict the future CME's volatility.| Risk Adjusted Performance | 0.1522 | |||
| Jensen Alpha | 0.2352 | |||
| Total Risk Alpha | 0.0312 | |||
| Treynor Ratio | (0.90) |
CME Group Backtested Returns
CME appears to be very steady, given 3 months investment horizon. CME Group secures Sharpe Ratio (or Efficiency) of 0.22, which signifies that the company had a 0.22% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for CME Group, which you can use to evaluate the volatility of the firm. Please makes use of CME's Standard Deviation of 1.12, mean deviation of 0.489, and Risk Adjusted Performance of 0.1522 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CME holds a performance score of 17. The firm shows a Beta (market volatility) of -0.23, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning CME are expected to decrease at a much lower rate. During the bear market, CME is likely to outperform the market. Please check CME's mean deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to make a quick decision on whether CME's price patterns will revert.
Auto-correlation | -0.76 |
Almost perfect reverse predictability
CME Group has almost perfect reverse predictability. Overlapping area represents the amount of predictability between CME time series from 27th of October 2024 to 11th of November 2024 and 11th of November 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 CME Group price movement. The serial correlation of -0.76 indicates that around 76.0% of current CME price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.76 | |
| Spearman Rank Test | -0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 14.09 |
CME Group lagged returns against current returns
Autocorrelation, which is CME 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 CME's stock expected returns. We can calculate the autocorrelation of CME returns to help us make a trade decision. For example, suppose you find that CME 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 |
CME 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 CME stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CME stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CME stock over time.
Current vs Lagged Prices |
| Timeline |
CME Lagged Returns
When evaluating CME's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CME stock have on its future price. CME 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, CME autocorrelation shows the relationship between CME stock current value and its past values and can show if there is a momentum factor associated with investing in CME Group.
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.Additional Information and Resources on Investing in CME Stock
When determining whether CME Group is a strong investment it is important to analyze CME's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact CME's future performance. For an informed investment choice regarding CME Stock, refer to the following important reports:Check out CME Correlation, CME Volatility and CME Alpha and Beta module to complement your research on CME. You can also try the Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
CME technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.