Shanghai Commercial (Taiwan) Market Value
| 5876 Stock | TWD 40.35 0.25 0.62% |
| Symbol | Shanghai |
Shanghai Commercial '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 Shanghai Commercial'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 Shanghai Commercial.
| 11/13/2024 |
| 12/13/2024 |
If you would invest 0.00 in Shanghai Commercial on November 13, 2024 and sell it all today you would earn a total of 0.00 from holding Shanghai Commercial Savings or generate 0.0% return on investment in Shanghai Commercial over 30 days. Shanghai Commercial is related to or competes with Mega Financial, Yuanta Financial, ESUN Financial, Taiwan Cooperative, and CTBC Financial. The Shanghai Commercial Savings Bank, Ltd More
Shanghai Commercial 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 Shanghai Commercial'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 Shanghai Commercial Savings upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.16 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 6.06 | |||
| Value At Risk | (1.54) | |||
| Potential Upside | 2.47 |
Shanghai Commercial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shanghai Commercial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shanghai Commercial's standard deviation. In reality, there are many statistical measures that can use Shanghai Commercial historical prices to predict the future Shanghai Commercial's volatility.| Risk Adjusted Performance | 0.0504 | |||
| Jensen Alpha | 0.0681 | |||
| Total Risk Alpha | (0.10) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 12.7 |
Shanghai Commercial Backtested Returns
At this stage we consider Shanghai Stock to be very steady. Shanghai Commercial owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0714, which indicates the firm had a 0.0714% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Shanghai Commercial Savings, which you can use to evaluate the volatility of the company. Please validate Shanghai Commercial's Risk Adjusted Performance of 0.0504, coefficient of variation of 1569.71, and Semi Deviation of 1.03 to confirm if the risk estimate we provide is consistent with the expected return of 0.0898%. Shanghai Commercial has a performance score of 5 on a scale of 0 to 100. The entity has a beta of 0.0054, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Shanghai Commercial's returns are expected to increase less than the market. However, during the bear market, the loss of holding Shanghai Commercial is expected to be smaller as well. Shanghai Commercial right now has a risk of 1.26%. Please validate Shanghai Commercial downside deviation, information ratio, and the relationship between the semi deviation and coefficient of variation , to decide if Shanghai Commercial will be following its existing price patterns.
Auto-correlation | -0.8 |
Almost perfect reverse predictability
Shanghai Commercial Savings has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Shanghai Commercial time series from 13th of November 2024 to 28th of November 2024 and 28th of November 2024 to 13th 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 Shanghai Commercial price movement. The serial correlation of -0.8 indicates that around 80.0% of current Shanghai Commercial price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.8 | |
| Spearman Rank Test | -0.95 | |
| Residual Average | 0.0 | |
| Price Variance | 0.24 |
Shanghai Commercial lagged returns against current returns
Autocorrelation, which is Shanghai Commercial 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 Shanghai Commercial's stock expected returns. We can calculate the autocorrelation of Shanghai Commercial returns to help us make a trade decision. For example, suppose you find that Shanghai Commercial 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 |
Shanghai Commercial 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 Shanghai Commercial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shanghai Commercial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shanghai Commercial stock over time.
Current vs Lagged Prices |
| Timeline |
Shanghai Commercial Lagged Returns
When evaluating Shanghai Commercial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shanghai Commercial stock have on its future price. Shanghai Commercial 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, Shanghai Commercial autocorrelation shows the relationship between Shanghai Commercial stock current value and its past values and can show if there is a momentum factor associated with investing in Shanghai Commercial Savings.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Additional Tools for Shanghai Stock Analysis
When running Shanghai Commercial's price analysis, check to measure Shanghai Commercial's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Shanghai Commercial is operating at the current time. Most of Shanghai Commercial's value examination focuses on studying past and present price action to predict the probability of Shanghai Commercial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Shanghai Commercial's price. Additionally, you may evaluate how the addition of Shanghai Commercial to your portfolios can decrease your overall portfolio volatility.