Shenzhen Changfang (China) Market Value
| 300301 Stock | 1.94 0.04 2.02% |
| Symbol | Shenzhen |
Shenzhen Changfang '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 Shenzhen Changfang'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 Shenzhen Changfang.
| 09/12/2024 |
| 12/11/2024 |
If you would invest 0.00 in Shenzhen Changfang on September 12, 2024 and sell it all today you would earn a total of 0.00 from holding Shenzhen Changfang Light or generate 0.0% return on investment in Shenzhen Changfang over 90 days. Shenzhen Changfang is related to or competes with Agricultural Bank, Industrial, Bank of China, PetroChina, and Postal Savings. Shenzhen Changfang is entity of China. It is traded as Stock on SHE exchange. More
Shenzhen Changfang 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 Shenzhen Changfang'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 Shenzhen Changfang Light upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.8 | |||
| Information Ratio | 0.153 | |||
| Maximum Drawdown | 24.85 | |||
| Value At Risk | (4.07) | |||
| Potential Upside | 7.69 |
Shenzhen Changfang Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shenzhen Changfang's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shenzhen Changfang's standard deviation. In reality, there are many statistical measures that can use Shenzhen Changfang historical prices to predict the future Shenzhen Changfang's volatility.| Risk Adjusted Performance | 0.1412 | |||
| Jensen Alpha | 0.7062 | |||
| Total Risk Alpha | 0.0927 | |||
| Sortino Ratio | 0.1605 | |||
| Treynor Ratio | 4.68 |
Shenzhen Changfang Light Backtested Returns
Shenzhen Changfang appears to be dangerous, given 3 months investment horizon. Shenzhen Changfang Light owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.21, which indicates the firm had a 0.21% return per unit of risk over the last 3 months. By inspecting Shenzhen Changfang's technical indicators, you can evaluate if the expected return of 0.89% is justified by implied risk. Please review Shenzhen Changfang's Semi Deviation of 3.21, risk adjusted performance of 0.1412, and Coefficient Of Variation of 542.86 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Shenzhen Changfang holds a performance score of 16. The entity has a beta of 0.15, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Shenzhen Changfang's returns are expected to increase less than the market. However, during the bear market, the loss of holding Shenzhen Changfang is expected to be smaller as well. Please check Shenzhen Changfang's semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to make a quick decision on whether Shenzhen Changfang's existing price patterns will revert.
Auto-correlation | 0.78 |
Good predictability
Shenzhen Changfang Light has good predictability. Overlapping area represents the amount of predictability between Shenzhen Changfang time series from 12th of September 2024 to 27th of October 2024 and 27th of October 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 Shenzhen Changfang Light price movement. The serial correlation of 0.78 indicates that around 78.0% of current Shenzhen Changfang price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.78 | |
| Spearman Rank Test | 0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Shenzhen Changfang Light lagged returns against current returns
Autocorrelation, which is Shenzhen Changfang 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 Shenzhen Changfang's stock expected returns. We can calculate the autocorrelation of Shenzhen Changfang returns to help us make a trade decision. For example, suppose you find that Shenzhen Changfang 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 |
Shenzhen Changfang 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 Shenzhen Changfang stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shenzhen Changfang stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shenzhen Changfang stock over time.
Current vs Lagged Prices |
| Timeline |
Shenzhen Changfang Lagged Returns
When evaluating Shenzhen Changfang's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shenzhen Changfang stock have on its future price. Shenzhen Changfang 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, Shenzhen Changfang autocorrelation shows the relationship between Shenzhen Changfang stock current value and its past values and can show if there is a momentum factor associated with investing in Shenzhen Changfang Light.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Shenzhen Stock
Shenzhen Changfang financial ratios help investors to determine whether Shenzhen Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Shenzhen with respect to the benefits of owning Shenzhen Changfang security.