CITIC (Germany) Market Value
| CPF Stock | EUR 1.09 0.01 0.93% |
| Symbol | CITIC |
CITIC '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 CITIC'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 CITIC.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in CITIC on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding CITIC Limited or generate 0.0% return on investment in CITIC over 30 days. CITIC is related to or competes with Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, NorAm Drilling, and Identiv. CITIC Limited operates in the financial services, resources and energy, manufacturing, engineering contracting, and real... More
CITIC 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 CITIC'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 CITIC Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.35 | |||
| Information Ratio | 0.1699 | |||
| Maximum Drawdown | 38.4 | |||
| Value At Risk | (3.12) | |||
| Potential Upside | 5.0 |
CITIC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CITIC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CITIC's standard deviation. In reality, there are many statistical measures that can use CITIC historical prices to predict the future CITIC's volatility.| Risk Adjusted Performance | 0.1599 | |||
| Jensen Alpha | 0.8603 | |||
| Total Risk Alpha | 0.1792 | |||
| Sortino Ratio | 0.2394 | |||
| Treynor Ratio | 1.78 |
CITIC Limited Backtested Returns
CITIC appears to be extremely dangerous, given 3 months investment horizon. CITIC Limited secures Sharpe Ratio (or Efficiency) of 0.19, which signifies that the company had a 0.19% return per unit of volatility over the last 3 months. By reviewing CITIC's technical indicators, you can evaluate if the expected return of 0.92% is justified by implied risk. Please makes use of CITIC's risk adjusted performance of 0.1599, and Mean Deviation of 2.44 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CITIC holds a performance score of 15. 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, CITIC's returns are expected to increase less than the market. However, during the bear market, the loss of holding CITIC is expected to be smaller as well. Please check CITIC's treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether CITIC's price patterns will revert.
Auto-correlation | 0.53 |
Modest predictability
CITIC Limited has modest predictability. Overlapping area represents the amount of predictability between CITIC time series from 24th of October 2024 to 8th of November 2024 and 8th of November 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 CITIC Limited price movement. The serial correlation of 0.53 indicates that about 53.0% of current CITIC price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | -0.57 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
CITIC Limited lagged returns against current returns
Autocorrelation, which is CITIC 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 CITIC's stock expected returns. We can calculate the autocorrelation of CITIC returns to help us make a trade decision. For example, suppose you find that CITIC 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 |
CITIC 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 CITIC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CITIC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CITIC stock over time.
Current vs Lagged Prices |
| Timeline |
CITIC Lagged Returns
When evaluating CITIC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CITIC stock have on its future price. CITIC 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, CITIC autocorrelation shows the relationship between CITIC stock current value and its past values and can show if there is a momentum factor associated with investing in CITIC Limited.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in CITIC Stock
CITIC financial ratios help investors to determine whether CITIC 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 CITIC with respect to the benefits of owning CITIC security.