China Greatwall (China) Market Value
| 000066 Stock | 15.11 0.44 2.83% |
| Symbol | China |
China Greatwall '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 Greatwall'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 Greatwall.
| 12/29/2022 |
| 12/18/2024 |
If you would invest 0.00 in China Greatwall on December 29, 2022 and sell it all today you would earn a total of 0.00 from holding China Greatwall Computer or generate 0.0% return on investment in China Greatwall over 720 days. China Greatwall is related to or competes with Industrial, China Construction, Bank of China, Agricultural Bank, PetroChina, China Mobile, and Ping An. China Greatwall is entity of China. It is traded as Stock on SHE exchange. More
China Greatwall 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 Greatwall'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 Greatwall Computer upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.82 | |||
| Information Ratio | 0.1918 | |||
| Maximum Drawdown | 20.05 | |||
| Value At Risk | (9.28) | |||
| Potential Upside | 10.0 |
China Greatwall Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for China Greatwall's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as China Greatwall's standard deviation. In reality, there are many statistical measures that can use China Greatwall historical prices to predict the future China Greatwall's volatility.| Risk Adjusted Performance | 0.1566 | |||
| Jensen Alpha | 1.06 | |||
| Total Risk Alpha | 0.6736 | |||
| Sortino Ratio | 0.2184 | |||
| Treynor Ratio | 1.4 |
China Greatwall Computer Backtested Returns
China Greatwall is somewhat reliable given 3 months investment horizon. China Greatwall Computer secures Sharpe Ratio (or Efficiency) of 0.2, which signifies that the company had a 0.2% return per unit of risk over the last 3 months. We were able to interpolate twenty-eight different technical indicators, which can help you to evaluate if expected returns of 1.17% are justified by taking the suggested risk. Use China Greatwall Downside Deviation of 4.82, risk adjusted performance of 0.1566, and Mean Deviation of 4.25 to evaluate company specific risk that cannot be diversified away. China Greatwall holds a performance score of 15 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of 0.79, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, China Greatwall's returns are expected to increase less than the market. However, during the bear market, the loss of holding China Greatwall is expected to be smaller as well. Use China Greatwall market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to analyze future returns on China Greatwall.
Auto-correlation | -0.22 |
Weak reverse predictability
China Greatwall Computer has weak reverse predictability. Overlapping area represents the amount of predictability between China Greatwall time series from 29th of December 2022 to 24th of December 2023 and 24th of December 2023 to 18th 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 Greatwall Computer price movement. The serial correlation of -0.22 indicates that over 22.0% of current China Greatwall price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 10.96 |
China Greatwall Computer lagged returns against current returns
Autocorrelation, which is China Greatwall 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 Greatwall's stock expected returns. We can calculate the autocorrelation of China Greatwall returns to help us make a trade decision. For example, suppose you find that China Greatwall 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 Greatwall 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 Greatwall stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if China Greatwall stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in China Greatwall stock over time.
Current vs Lagged Prices |
| Timeline |
China Greatwall Lagged Returns
When evaluating China Greatwall's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of China Greatwall stock have on its future price. China Greatwall 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 Greatwall autocorrelation shows the relationship between China Greatwall stock current value and its past values and can show if there is a momentum factor associated with investing in China Greatwall Computer.
Regressed Prices |
| Timeline |
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China Greatwall 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 Greatwall security.