CIMB SP (Germany) Market Value
| P5P Etf | 39.01 0.10 0.26% |
| Symbol | CIMB |
CIMB SP '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 CIMB SP's etf 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 CIMB SP.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in CIMB SP on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding CIMB SP Ethical or generate 0.0% return on investment in CIMB SP over 720 days.
CIMB SP 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 CIMB SP's etf 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 CIMB SP Ethical upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.08 | |||
| Information Ratio | 0.0148 | |||
| Maximum Drawdown | 6.01 | |||
| Value At Risk | (1.13) | |||
| Potential Upside | 1.84 |
CIMB SP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CIMB SP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CIMB SP's standard deviation. In reality, there are many statistical measures that can use CIMB SP historical prices to predict the future CIMB SP's volatility.| Risk Adjusted Performance | 0.1147 | |||
| Jensen Alpha | 0.1515 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.0143 | |||
| Treynor Ratio | (2.16) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CIMB SP'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.
CIMB SP Ethical Backtested Returns
Currently, CIMB SP Ethical is very steady. CIMB SP Ethical secures Sharpe Ratio (or Efficiency) of 0.14, which signifies that the etf had a 0.14% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for CIMB SP Ethical, which you can use to evaluate the volatility of the entity. Please confirm CIMB SP's risk adjusted performance of 0.1147, and Mean Deviation of 0.7567 to double-check if the risk estimate we provide is consistent with the expected return of 0.14%. The etf shows a Beta (market volatility) of -0.0661, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning CIMB SP are expected to decrease at a much lower rate. During the bear market, CIMB SP is likely to outperform the market.
Auto-correlation | -0.15 |
Insignificant reverse predictability
CIMB SP Ethical has insignificant reverse predictability. Overlapping area represents the amount of predictability between CIMB SP time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 CIMB SP Ethical price movement. The serial correlation of -0.15 indicates that less than 15.0% of current CIMB SP price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | -0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 11.48 |
CIMB SP Ethical lagged returns against current returns
Autocorrelation, which is CIMB SP etf'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 CIMB SP's etf expected returns. We can calculate the autocorrelation of CIMB SP returns to help us make a trade decision. For example, suppose you find that CIMB SP has exhibited high autocorrelation historically, and you observe that the etf 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 |
CIMB SP 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 CIMB SP etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CIMB SP etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CIMB SP etf over time.
Current vs Lagged Prices |
| Timeline |
CIMB SP Lagged Returns
When evaluating CIMB SP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CIMB SP etf have on its future price. CIMB SP 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, CIMB SP autocorrelation shows the relationship between CIMB SP etf current value and its past values and can show if there is a momentum factor associated with investing in CIMB SP Ethical.
Regressed Prices |
| Timeline |