CHINA MERCHANTS (Germany) Market Value
| CPM Stock | 1.53 0.05 3.38% |
| Symbol | CHINA |
CHINA MERCHANTS '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 CHINA MERCHANTS'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 CHINA MERCHANTS.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in CHINA MERCHANTS on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding CHINA MERCHANTS or generate 0.0% return on investment in CHINA MERCHANTS over 30 days. CHINA MERCHANTS is related to or competes with Zijin Mining, Harmony Gold, Fast Retailing, Cleanaway Waste, and Burlington Stores. More
CHINA MERCHANTS 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 CHINA MERCHANTS'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 CHINA MERCHANTS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.97 | |||
| Information Ratio | 0.1215 | |||
| Maximum Drawdown | 28.81 | |||
| Value At Risk | (2.50) | |||
| Potential Upside | 4.29 |
CHINA MERCHANTS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CHINA MERCHANTS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CHINA MERCHANTS's standard deviation. In reality, there are many statistical measures that can use CHINA MERCHANTS historical prices to predict the future CHINA MERCHANTS's volatility.| Risk Adjusted Performance | 0.1291 | |||
| Jensen Alpha | 0.5054 | |||
| Total Risk Alpha | 0.0166 | |||
| Sortino Ratio | 0.21 | |||
| Treynor Ratio | 2.6 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CHINA MERCHANTS'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.
CHINA MERCHANTS Backtested Returns
CHINA MERCHANTS appears to be very risky, given 3 months investment horizon. CHINA MERCHANTS secures Sharpe Ratio (or Efficiency) of 0.17, which signifies that the company had a 0.17% return per unit of return volatility over the last 3 months. By examining CHINA MERCHANTS's technical indicators, you can evaluate if the expected return of 0.59% is justified by implied risk. Please makes use of CHINA MERCHANTS's Risk Adjusted Performance of 0.1291, mean deviation of 1.73, and Semi Deviation of 1.3 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CHINA MERCHANTS holds a performance score of 13. The firm shows a Beta (market volatility) of 0.2, which signifies not very significant fluctuations relative to the market. As returns on the market increase, CHINA MERCHANTS's returns are expected to increase less than the market. However, during the bear market, the loss of holding CHINA MERCHANTS is expected to be smaller as well. Please check CHINA MERCHANTS's information ratio, value at risk, kurtosis, as well as the relationship between the sortino ratio and semi variance , to make a quick decision on whether CHINA MERCHANTS's price patterns will revert.
Auto-correlation | 0.43 |
Average predictability
CHINA MERCHANTS has average predictability. Overlapping area represents the amount of predictability between CHINA MERCHANTS time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 CHINA MERCHANTS price movement. The serial correlation of 0.43 indicates that just about 43.0% of current CHINA MERCHANTS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.43 | |
| Spearman Rank Test | -0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
CHINA MERCHANTS lagged returns against current returns
Autocorrelation, which is CHINA MERCHANTS 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 CHINA MERCHANTS's stock expected returns. We can calculate the autocorrelation of CHINA MERCHANTS returns to help us make a trade decision. For example, suppose you find that CHINA MERCHANTS 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 |
CHINA MERCHANTS 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 CHINA MERCHANTS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CHINA MERCHANTS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CHINA MERCHANTS stock over time.
Current vs Lagged Prices |
| Timeline |
CHINA MERCHANTS Lagged Returns
When evaluating CHINA MERCHANTS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CHINA MERCHANTS stock have on its future price. CHINA MERCHANTS 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, CHINA MERCHANTS autocorrelation shows the relationship between CHINA MERCHANTS stock current value and its past values and can show if there is a momentum factor associated with investing in CHINA MERCHANTS.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for CHINA Stock Analysis
When running CHINA MERCHANTS's price analysis, check to measure CHINA MERCHANTS'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 CHINA MERCHANTS is operating at the current time. Most of CHINA MERCHANTS's value examination focuses on studying past and present price action to predict the probability of CHINA MERCHANTS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move CHINA MERCHANTS's price. Additionally, you may evaluate how the addition of CHINA MERCHANTS to your portfolios can decrease your overall portfolio volatility.