CITIC (Germany) Market Value
| CPF0 Stock | EUR 5.20 0.05 0.95% |
| Symbol | CITIC |
CITIC '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'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 CITIC.
| 01/02/2023 |
| 12/22/2024 |
If you would invest 0.00 in CITIC on January 2, 2023 and sell it all today you would earn a total of 0.00 from holding CITIC LTD ADR5 or generate 0.0% return on investment in CITIC over 720 days. CITIC is related to or competes with Honeywell International, Mitsubishi, Hitachi, ITOCHU, CITIC, CK HUTCHISON, and Marubeni. CITIC Limited operates in the financial services, resources and energy, manufacturing, engineering contracting, and real... More
CITIC 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'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 CITIC LTD ADR5 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.68 | |||
| Information Ratio | 0.1181 | |||
| Maximum Drawdown | 20.62 | |||
| Value At Risk | (2.88) | |||
| Potential Upside | 5.88 |
CITIC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CITIC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CITIC's standard deviation. In reality, there are many statistical measures that can use CITIC historical prices to predict the future CITIC's volatility.| Risk Adjusted Performance | 0.1095 | |||
| Jensen Alpha | 0.363 | |||
| Total Risk Alpha | 0.2918 | |||
| Sortino Ratio | 0.1318 | |||
| Treynor Ratio | 0.6615 |
CITIC LTD ADR5 Backtested Returns
CITIC appears to be slightly risky, given 3 months investment horizon. CITIC LTD ADR5 secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had a 0.13% return per unit of volatility over the last 3 months. We have found twenty-seven technical indicators for CITIC LTD ADR5, which you can use to evaluate the volatility of the firm. Please makes use of CITIC's risk adjusted performance of 0.1095, and Mean Deviation of 2.03 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CITIC holds a performance score of 10. The firm shows a Beta (market volatility) of 0.57, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, CITIC's returns are expected to increase less than the market. However, during the bear market, the loss of holding CITIC is expected to be smaller as well. Please check CITIC's total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether CITIC's price patterns will revert.
Auto-correlation | -0.65 |
Very good reverse predictability
CITIC LTD ADR5 has very good reverse predictability. Overlapping area represents the amount of predictability between CITIC time series from 2nd of January 2023 to 28th of December 2023 and 28th of December 2023 to 22nd 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 LTD ADR5 price movement. The serial correlation of -0.65 indicates that roughly 65.0% of current CITIC price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.65 | |
| Spearman Rank Test | -0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.36 |
CITIC LTD ADR5 lagged returns against current returns
Autocorrelation, which is CITIC 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's stock expected returns. We can calculate the autocorrelation of CITIC returns to help us make a trade decision. For example, suppose you find that CITIC 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 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CITIC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CITIC stock over time.
Current vs Lagged Prices |
| Timeline |
CITIC Lagged Returns
When evaluating CITIC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CITIC stock have on its future price. CITIC 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 autocorrelation shows the relationship between CITIC stock current value and its past values and can show if there is a momentum factor associated with investing in CITIC LTD ADR5.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in CITIC Stock
CITIC 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 security.