CITIC Securities (China) Market Value
| 600030 Stock | 31.48 0.24 0.77% |
| Symbol | CITIC |
CITIC Securities '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 CITIC Securities' 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 CITIC Securities.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in CITIC Securities on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding CITIC Securities Co or generate 0.0% return on investment in CITIC Securities over 480 days. CITIC Securities is related to or competes with Kuang Chi, FSPG Hi, Sunwave Communications, Fujian Newland, and Eastern Communications. CITIC Securities is entity of China. It is traded as Stock on SHG exchange. More
CITIC Securities 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 CITIC Securities' 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 CITIC Securities Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.52 | |||
| Information Ratio | 0.1972 | |||
| Maximum Drawdown | 18.58 | |||
| Value At Risk | (2.98) | |||
| Potential Upside | 9.99 |
CITIC Securities Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CITIC Securities' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CITIC Securities' standard deviation. In reality, there are many statistical measures that can use CITIC Securities historical prices to predict the future CITIC Securities' volatility.| Risk Adjusted Performance | 0.1765 | |||
| Jensen Alpha | 0.7523 | |||
| Total Risk Alpha | 0.2474 | |||
| Sortino Ratio | 0.2681 | |||
| Treynor Ratio | 2.32 |
CITIC Securities Backtested Returns
CITIC Securities appears to be very steady, given 3 months investment horizon. CITIC Securities secures Sharpe Ratio (or Efficiency) of 0.26, which signifies that the company had a 0.26% return per unit of volatility over the last 3 months. By reviewing CITIC Securities' technical indicators, you can evaluate if the expected return of 0.97% is justified by implied risk. Please makes use of CITIC Securities' risk adjusted performance of 0.1765, and Mean Deviation of 2.32 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CITIC Securities holds a performance score of 20. The firm shows a Beta (market volatility) of 0.34, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, CITIC Securities' returns are expected to increase less than the market. However, during the bear market, the loss of holding CITIC Securities is expected to be smaller as well. Please check CITIC Securities' standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether CITIC Securities' price patterns will revert.
Auto-correlation | -0.45 |
Modest reverse predictability
CITIC Securities Co has modest reverse predictability. Overlapping area represents the amount of predictability between CITIC Securities time series from 19th of August 2023 to 15th of April 2024 and 15th of April 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 CITIC Securities price movement. The serial correlation of -0.45 indicates that just about 45.0% of current CITIC Securities price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.45 | |
| Spearman Rank Test | -0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 25.18 |
CITIC Securities lagged returns against current returns
Autocorrelation, which is CITIC Securities 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 CITIC Securities' stock expected returns. We can calculate the autocorrelation of CITIC Securities returns to help us make a trade decision. For example, suppose you find that CITIC Securities 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 |
CITIC Securities 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 CITIC Securities stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CITIC Securities stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CITIC Securities stock over time.
Current vs Lagged Prices |
| Timeline |
CITIC Securities Lagged Returns
When evaluating CITIC Securities' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CITIC Securities stock have on its future price. CITIC Securities 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, CITIC Securities autocorrelation shows the relationship between CITIC Securities stock current value and its past values and can show if there is a momentum factor associated with investing in CITIC Securities Co.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in CITIC Stock
CITIC Securities financial ratios help investors to determine whether CITIC 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 CITIC with respect to the benefits of owning CITIC Securities security.