CECO ENVIRONMENTAL (Germany) Market Value
| WCE Stock | 29.84 0.46 1.57% |
| Symbol | CECO |
CECO ENVIRONMENTAL '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 CECO ENVIRONMENTAL'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 CECO ENVIRONMENTAL.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in CECO ENVIRONMENTAL on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding CECO ENVIRONMENTAL or generate 0.0% return on investment in CECO ENVIRONMENTAL over 720 days. CECO ENVIRONMENTAL is related to or competes with Sqs Software, National Beverage, AOI Electronics, FORMPIPE SOFTWARE, KIMBALL ELECTRONICS, Fevertree Drinks, and AXWAY SOFTWARE. More
CECO ENVIRONMENTAL 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 CECO ENVIRONMENTAL'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 CECO ENVIRONMENTAL upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.04 | |||
| Information Ratio | 0.0389 | |||
| Maximum Drawdown | 24.65 | |||
| Value At Risk | (4.25) | |||
| Potential Upside | 5.3 |
CECO ENVIRONMENTAL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CECO ENVIRONMENTAL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CECO ENVIRONMENTAL's standard deviation. In reality, there are many statistical measures that can use CECO ENVIRONMENTAL historical prices to predict the future CECO ENVIRONMENTAL's volatility.| Risk Adjusted Performance | 0.0639 | |||
| Jensen Alpha | 0.069 | |||
| Total Risk Alpha | (0.33) | |||
| Sortino Ratio | 0.0369 | |||
| Treynor Ratio | 0.1622 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CECO ENVIRONMENTAL'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.
CECO ENVIRONMENTAL Backtested Returns
CECO ENVIRONMENTAL appears to be not too volatile, given 3 months investment horizon. CECO ENVIRONMENTAL retains Efficiency (Sharpe Ratio) of 0.0899, which signifies that the company had a 0.0899% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for CECO ENVIRONMENTAL, which you can use to evaluate the volatility of the firm. Please makes use of CECO ENVIRONMENTAL's market risk adjusted performance of 0.1722, and Coefficient Of Variation of 1370.98 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CECO ENVIRONMENTAL holds a performance score of 7. The firm owns a Beta (Systematic Risk) of 1.67, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, CECO ENVIRONMENTAL will likely underperform. Please check CECO ENVIRONMENTAL'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 CECO ENVIRONMENTAL's current price history will revert.
Auto-correlation | 0.21 |
Weak predictability
CECO ENVIRONMENTAL has weak predictability. Overlapping area represents the amount of predictability between CECO ENVIRONMENTAL time series from 7th of December 2022 to 2nd of December 2023 and 2nd of December 2023 to 26th 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 CECO ENVIRONMENTAL price movement. The serial correlation of 0.21 indicates that over 21.0% of current CECO ENVIRONMENTAL price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | 0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 9.54 |
CECO ENVIRONMENTAL lagged returns against current returns
Autocorrelation, which is CECO ENVIRONMENTAL 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 CECO ENVIRONMENTAL's stock expected returns. We can calculate the autocorrelation of CECO ENVIRONMENTAL returns to help us make a trade decision. For example, suppose you find that CECO ENVIRONMENTAL 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 |
CECO ENVIRONMENTAL 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 CECO ENVIRONMENTAL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CECO ENVIRONMENTAL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CECO ENVIRONMENTAL stock over time.
Current vs Lagged Prices |
| Timeline |
CECO ENVIRONMENTAL Lagged Returns
When evaluating CECO ENVIRONMENTAL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CECO ENVIRONMENTAL stock have on its future price. CECO ENVIRONMENTAL 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, CECO ENVIRONMENTAL autocorrelation shows the relationship between CECO ENVIRONMENTAL stock current value and its past values and can show if there is a momentum factor associated with investing in CECO ENVIRONMENTAL.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for CECO Stock Analysis
When running CECO ENVIRONMENTAL's price analysis, check to measure CECO ENVIRONMENTAL'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 CECO ENVIRONMENTAL is operating at the current time. Most of CECO ENVIRONMENTAL's value examination focuses on studying past and present price action to predict the probability of CECO ENVIRONMENTAL's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move CECO ENVIRONMENTAL's price. Additionally, you may evaluate how the addition of CECO ENVIRONMENTAL to your portfolios can decrease your overall portfolio volatility.