CME (Germany) Market Value
| MX4A Stock | EUR 224.65 2.35 1.04% |
| 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.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in CME on November 11, 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 Molson Coors, SCANSOURCE, J+J SNACK, United Breweries, MOLSON RS, Collins Foods, and Fevertree Drinks. CME Group Inc., through its subsidiaries, operates contract markets for the trading of futures and options on futures co... 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.
| Downside Deviation | 1.21 | |||
| Information Ratio | 0.0574 | |||
| Maximum Drawdown | 10.01 | |||
| Value At Risk | (1.49) | |||
| Potential Upside | 2.08 |
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 | 0.1144 | |||
| Jensen Alpha | 0.1202 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0622 | |||
| Treynor Ratio | 0.3116 |
CME Group Backtested Returns
CME appears to be very steady, given 3 months investment horizon. CME Group secures Sharpe Ratio (or Efficiency) of 0.16, which signifies that the company had a 0.16% return per unit of risk over the last 3 months. We have found thirty technical indicators for CME Group, which you can use to evaluate the volatility of the firm. Please makes use of CME's Downside Deviation of 1.21, risk adjusted performance of 0.1144, and Mean Deviation of 0.8795 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 12. 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, CME's returns are expected to increase less than the market. However, during the bear market, the loss of holding CME is expected to be smaller as well. Please check CME's standard deviation, total risk alpha, and 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 | 0.20 |
Weak predictability
CME Group has weak predictability. Overlapping area represents the amount of predictability between CME time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th of December 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 0.2 indicates that over 20.0% of current CME price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 7.66 |
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 |
Currently Active Assets on Macroaxis
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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.