CITIC (Germany) Volatility
| CPF Stock | EUR 1.09 0.01 0.93% |
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. Key indicators related to CITIC's volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
CITIC Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of CITIC daily returns, and it is calculated using variance and standard deviation. We also use CITIC's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of CITIC volatility.
CITIC |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as CITIC can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game as hey may decide to buy additional stocks of CITIC at lower prices to lower their average cost per share. Similarly, when the prices of CITIC's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving together with CITIC Stock
| 0.62 | ALD | Honeywell International | PairCorr |
| 0.82 | HIA1 | Hitachi | PairCorr |
| 0.98 | CPF0 | CITIC LTD ADR5 | PairCorr |
| 0.71 | 2CK | CK Hutchison Holdings | PairCorr |
Moving against CITIC Stock
CITIC Market Sensitivity And Downside Risk
CITIC's beta coefficient measures the volatility of CITIC stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents CITIC stock's returns against your selected market. In other words, CITIC's beta of 0.52 provides an investor with an approximation of how much risk CITIC stock can potentially add to one of your existing portfolios. CITIC Limited shows above-average downside volatility for the selected time horizon. CITIC Limited is a potential penny stock. Although CITIC may be in fact a good instrument to invest, many penny stocks are speculative in nature and are subject to artificial price hype. Please make sure you totally understand the upside potential and downside risk of investing in CITIC Limited. We encourage investors to look for signals such as email spams, message board hypes, claims of breakthroughs, volume upswings, sudden news releases, promotions that are not reported, or demotions released before SEC filings. Please also check biographies and work history of current and past company officers before investing in high volatility instruments, penny stocks, or equities with microcap classification. You can indeed make money on CITIC instrument if you perfectly time your entry and exit. However, remember that penny stocks that have been the subject of artificial hype usually unable to maintain their increased share price for more than just a few days. The price of a promoted high volatility instrument will almost always revert back. The only way to increase shareholder value is through legitimate performance backed up by solid fundamentals.
3 Months Beta |Analyze CITIC Limited Demand TrendCheck current 90 days CITIC correlation with market (Dow Jones Industrial)CITIC Beta |
CITIC standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 4.76 |
It is essential to understand the difference between upside risk (as represented by CITIC's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of CITIC's daily returns or price. Since the actual investment returns on holding a position in citic stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in CITIC.
CITIC Limited Stock Volatility Analysis
Volatility refers to the frequency at which CITIC stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with CITIC's price changes. Investors will then calculate the volatility of CITIC's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of CITIC's volatility:
Historical Volatility
This type of stock volatility measures CITIC's fluctuations based on previous trends. It's commonly used to predict CITIC's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for CITIC's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on CITIC's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. CITIC Limited Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
CITIC Projected Return Density Against Market
Assuming the 90 days horizon CITIC has a beta of 0.5172 suggesting as returns on the market go up, CITIC average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding CITIC Limited will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to CITIC or Industrials sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that CITIC's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a CITIC stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
CITIC Limited has an alpha of 0.8603, implying that it can generate a 0.86 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a CITIC Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.CITIC Stock Risk Measures
Assuming the 90 days horizon the coefficient of variation of CITIC is 515.59. The daily returns are distributed with a variance of 22.63 and standard deviation of 4.76. The mean deviation of CITIC Limited is currently at 2.47. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.86 | |
β | Beta against Dow Jones | 0.52 | |
σ | Overall volatility | 4.76 | |
Ir | Information ratio | 0.17 |
CITIC Stock Return Volatility
CITIC historical daily return volatility represents how much of CITIC stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 4.7571% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7685% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About CITIC Volatility
Volatility is a rate at which the price of CITIC or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of CITIC may increase or decrease. In other words, similar to CITIC's beta indicator, it measures the risk of CITIC and helps estimate the fluctuations that may happen in a short period of time. So if prices of CITIC fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.CITIC Limited operates in the financial services, resources and energy, manufacturing, engineering contracting, and real estate businesses in Hong Kong, Mainland China, Macau, and internationally. The company was founded in 1987 and is based in Central, Hong Kong, and is considered as a Red Chip company due to its listing on the Hong Kong Stock Exchange. CITIC LTD operates under Conglomerates classification in Germany and is traded on Frankfurt Stock Exchange. It employs 273344 people.
CITIC's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on CITIC Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much CITIC's price varies over time.
3 ways to utilize CITIC's volatility to invest better
Higher CITIC's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of CITIC Limited stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. CITIC Limited stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of CITIC Limited investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in CITIC's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of CITIC's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
CITIC Investment Opportunity
CITIC Limited has a volatility of 4.76 and is 6.18 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of CITIC Limited is lower than 42 percent of all global equities and portfolios over the last 90 days. You can use CITIC Limited to enhance the returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of CITIC to be traded at €1.199 in 90 days.Significant diversification
The correlation between CITIC Limited and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CITIC Limited and DJI in the same portfolio, assuming nothing else is changed.
CITIC Additional Risk Indicators
The analysis of CITIC's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in CITIC's investment and either accepting that risk or mitigating it. Along with some common measures of CITIC stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.1599 | |||
| Market Risk Adjusted Performance | 1.79 | |||
| Mean Deviation | 2.44 | |||
| Semi Deviation | 2.31 | |||
| Downside Deviation | 3.35 | |||
| Coefficient Of Variation | 506.16 | |||
| Standard Deviation | 4.72 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
CITIC Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against CITIC as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. CITIC's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, CITIC's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to CITIC Limited.
Complementary Tools for CITIC Stock analysis
When running CITIC's price analysis, check to measure CITIC'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 CITIC is operating at the current time. Most of CITIC's value examination focuses on studying past and present price action to predict the probability of CITIC's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move CITIC's price. Additionally, you may evaluate how the addition of CITIC to your portfolios can decrease your overall portfolio volatility.
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