Guotai Junan (China) Market Value
| 601211 Stock | 17.57 0.20 1.13% |
| Symbol | Guotai |
Guotai Junan '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 Guotai Junan'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 Guotai Junan.
| 10/11/2023 |
| 01/03/2025 |
If you would invest 0.00 in Guotai Junan on October 11, 2023 and sell it all today you would earn a total of 0.00 from holding Guotai Junan Securities or generate 0.0% return on investment in Guotai Junan over 450 days. Guotai Junan is related to or competes with Integrated Electronic, Anyang Iron, Changjiang Jinggong, Techshine Electronics, Leyard Optoelectronic, and TongFu Microelectronics. Guotai Junan is entity of China. It is traded as Stock on SHG exchange. More
Guotai Junan 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 Guotai Junan'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 Guotai Junan Securities upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.17 | |||
| Information Ratio | 0.1148 | |||
| Maximum Drawdown | 15.32 | |||
| Value At Risk | (3.48) | |||
| Potential Upside | 5.67 |
Guotai Junan Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Guotai Junan's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Guotai Junan's standard deviation. In reality, there are many statistical measures that can use Guotai Junan historical prices to predict the future Guotai Junan's volatility.| Risk Adjusted Performance | 0.1029 | |||
| Jensen Alpha | 0.3119 | |||
| Total Risk Alpha | 0.3077 | |||
| Sortino Ratio | 0.1437 | |||
| Treynor Ratio | 0.388 |
Guotai Junan Securities Backtested Returns
Guotai Junan appears to be not too volatile, given 3 months investment horizon. Guotai Junan Securities holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Guotai Junan Securities, which you can use to evaluate the volatility of the firm. Please utilize Guotai Junan's Risk Adjusted Performance of 0.1029, downside deviation of 2.17, and Market Risk Adjusted Performance of 0.398 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Guotai Junan holds a performance score of 9. The company retains a Market Volatility (i.e., Beta) of 0.81, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Guotai Junan's returns are expected to increase less than the market. However, during the bear market, the loss of holding Guotai Junan is expected to be smaller as well. Please check Guotai Junan's downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to make a quick decision on whether Guotai Junan's current trending patterns will revert.
Auto-correlation | -0.64 |
Very good reverse predictability
Guotai Junan Securities has very good reverse predictability. Overlapping area represents the amount of predictability between Guotai Junan time series from 11th of October 2023 to 23rd of May 2024 and 23rd of May 2024 to 3rd of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Guotai Junan Securities price movement. The serial correlation of -0.64 indicates that roughly 64.0% of current Guotai Junan price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.64 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 6.47 |
Guotai Junan Securities lagged returns against current returns
Autocorrelation, which is Guotai Junan 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 Guotai Junan's stock expected returns. We can calculate the autocorrelation of Guotai Junan returns to help us make a trade decision. For example, suppose you find that Guotai Junan 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 |
Guotai Junan 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 Guotai Junan stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Guotai Junan stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Guotai Junan stock over time.
Current vs Lagged Prices |
| Timeline |
Guotai Junan Lagged Returns
When evaluating Guotai Junan's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Guotai Junan stock have on its future price. Guotai Junan 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, Guotai Junan autocorrelation shows the relationship between Guotai Junan stock current value and its past values and can show if there is a momentum factor associated with investing in Guotai Junan Securities.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Guotai Stock
Guotai Junan financial ratios help investors to determine whether Guotai 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 Guotai with respect to the benefits of owning Guotai Junan security.