CHINA SHENHUA (Germany) Market Value
| IKFC Stock | EUR 15.60 0.40 2.50% |
| Symbol | CHINA |
CHINA SHENHUA '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 CHINA SHENHUA'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 CHINA SHENHUA.
| 01/03/2023 |
| 12/23/2024 |
If you would invest 0.00 in CHINA SHENHUA on January 3, 2023 and sell it all today you would earn a total of 0.00 from holding CHINA SHENHUA ENA or generate 0.0% return on investment in CHINA SHENHUA over 720 days. CHINA SHENHUA is related to or competes with China Coal, Yancoal Australia, Banpu PCL, CONSOL Energy, and HMS Bergbau. China Shenhua Energy Company Limited and its subsidiaries engage in the production and sales of coal and power railway, ... More
CHINA SHENHUA 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 CHINA SHENHUA'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 CHINA SHENHUA ENA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.4 | |||
| Information Ratio | 0.066 | |||
| Maximum Drawdown | 12.47 | |||
| Value At Risk | (2.55) | |||
| Potential Upside | 3.82 |
CHINA SHENHUA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CHINA SHENHUA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CHINA SHENHUA's standard deviation. In reality, there are many statistical measures that can use CHINA SHENHUA historical prices to predict the future CHINA SHENHUA's volatility.| Risk Adjusted Performance | 0.0703 | |||
| Jensen Alpha | 0.1596 | |||
| Total Risk Alpha | 0.1056 | |||
| Sortino Ratio | 0.0603 | |||
| Treynor Ratio | 0.4967 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CHINA SHENHUA'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.
CHINA SHENHUA ENA Backtested Returns
At this point, CHINA SHENHUA is not too volatile. CHINA SHENHUA ENA secures Sharpe Ratio (or Efficiency) of 0.0294, which signifies that the company had a 0.0294% return per unit of return volatility over the last 3 months. We have found twenty-seven technical indicators for CHINA SHENHUA ENA, which you can use to evaluate the volatility of the firm. Please confirm CHINA SHENHUA's Mean Deviation of 1.59, semi deviation of 1.92, and Risk Adjusted Performance of 0.0703 to double-check if the risk estimate we provide is consistent with the expected return of 0.0619%. CHINA SHENHUA has a performance score of 2 on a scale of 0 to 100. 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, CHINA SHENHUA's returns are expected to increase less than the market. However, during the bear market, the loss of holding CHINA SHENHUA is expected to be smaller as well. CHINA SHENHUA ENA at this time shows a risk of 2.1%. Please confirm CHINA SHENHUA ENA jensen alpha, sortino ratio, and the relationship between the information ratio and total risk alpha , to decide if CHINA SHENHUA ENA will be following its price patterns.
Auto-correlation | 0.61 |
Good predictability
CHINA SHENHUA ENA has good predictability. Overlapping area represents the amount of predictability between CHINA SHENHUA time series from 3rd of January 2023 to 29th of December 2023 and 29th of December 2023 to 23rd 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 CHINA SHENHUA ENA price movement. The serial correlation of 0.61 indicates that roughly 61.0% of current CHINA SHENHUA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.61 | |
| Spearman Rank Test | 0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 2.78 |
CHINA SHENHUA ENA lagged returns against current returns
Autocorrelation, which is CHINA SHENHUA 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 CHINA SHENHUA's stock expected returns. We can calculate the autocorrelation of CHINA SHENHUA returns to help us make a trade decision. For example, suppose you find that CHINA SHENHUA 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 |
CHINA SHENHUA 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 CHINA SHENHUA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CHINA SHENHUA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CHINA SHENHUA stock over time.
Current vs Lagged Prices |
| Timeline |
CHINA SHENHUA Lagged Returns
When evaluating CHINA SHENHUA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CHINA SHENHUA stock have on its future price. CHINA SHENHUA 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, CHINA SHENHUA autocorrelation shows the relationship between CHINA SHENHUA stock current value and its past values and can show if there is a momentum factor associated with investing in CHINA SHENHUA ENA.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in CHINA Stock
CHINA SHENHUA financial ratios help investors to determine whether CHINA 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 CHINA with respect to the benefits of owning CHINA SHENHUA security.