Canadian National Railway Stock Market Value
| CNR Stock | CAD 152.52 3.09 2.07% |
| Symbol | Canadian |
Canadian National Railway Price To Book Ratio
Canadian National '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 Canadian National'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 Canadian National.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Canadian National on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Canadian National Railway or generate 0.0% return on investment in Canadian National over 30 days. Canadian National is related to or competes with Canadian Pacific, Fortis, BCE, Telus Corp, and Enbridge. Canadian National Railway Company, together with its subsidiaries, engages in the rail and related transportation busine... More
Canadian National 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 Canadian National'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 Canadian National Railway upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 5.61 | |||
| Value At Risk | (1.55) | |||
| Potential Upside | 1.62 |
Canadian National Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Canadian National's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Canadian National's standard deviation. In reality, there are many statistical measures that can use Canadian National historical prices to predict the future Canadian National's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.16) | |||
| Treynor Ratio | (0.04) |
Canadian National Railway Backtested Returns
Canadian National Railway secures Sharpe Ratio (or Efficiency) of -0.0521, which signifies that the company had a -0.0521% return per unit of risk over the last 3 months. Canadian National Railway exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Canadian National's Risk Adjusted Performance of (0.01), mean deviation of 0.7942, and Standard Deviation of 1.05 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.52, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Canadian National's returns are expected to increase less than the market. However, during the bear market, the loss of holding Canadian National is expected to be smaller as well. At this point, Canadian National Railway has a negative expected return of -0.0547%. Please make sure to confirm Canadian National's value at risk, as well as the relationship between the accumulation distribution and day typical price , to decide if Canadian National Railway performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.48 |
Average predictability
Canadian National Railway has average predictability. Overlapping area represents the amount of predictability between Canadian National time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd 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 Canadian National Railway price movement. The serial correlation of 0.48 indicates that about 48.0% of current Canadian National price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.48 | |
| Spearman Rank Test | 0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 5.85 |
Canadian National Railway lagged returns against current returns
Autocorrelation, which is Canadian National 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 Canadian National's stock expected returns. We can calculate the autocorrelation of Canadian National returns to help us make a trade decision. For example, suppose you find that Canadian National 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 |
Canadian National 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 Canadian National stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Canadian National stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Canadian National stock over time.
Current vs Lagged Prices |
| Timeline |
Canadian National Lagged Returns
When evaluating Canadian National's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Canadian National stock have on its future price. Canadian National 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, Canadian National autocorrelation shows the relationship between Canadian National stock current value and its past values and can show if there is a momentum factor associated with investing in Canadian National Railway.
Regressed Prices |
| Timeline |
Pair Trading with Canadian National
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 Canadian National 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 Canadian National will appreciate offsetting losses from the drop in the long position's value.Moving against Canadian Stock
| 0.6 | TRP | TC Energy Corp | PairCorr |
| 0.6 | NVDA | NVIDIA CDR | PairCorr |
| 0.53 | TD-PFI | Toronto Dominion Bank | PairCorr |
| 0.5 | ENB | Enbridge | PairCorr |
| 0.49 | MFC | Manulife Financial Corp | PairCorr |
The ability to find closely correlated positions to Canadian National could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Canadian National 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 Canadian National - 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 Canadian National Railway to buy it.
The correlation of Canadian National 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 Canadian National moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Canadian National Railway 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 Canadian National 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.Check out Canadian National Correlation, Canadian National Volatility and Canadian National Alpha and Beta module to complement your research on Canadian National. You can also try the Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Canadian National 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.