China Mengniu Dairy Stock Market Value
| CIADY Stock | USD 22.09 0.71 3.32% |
| Symbol | China |
China Mengniu '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 Mengniu's pink sheet 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 Mengniu.
| 12/05/2023 |
| 11/29/2024 |
If you would invest 0.00 in China Mengniu on December 5, 2023 and sell it all today you would earn a total of 0.00 from holding China Mengniu Dairy or generate 0.0% return on investment in China Mengniu over 360 days. China Mengniu is related to or competes with A2 Milk, Artisan Consumer, and General Mills. China Mengniu Dairy Company Limited, an investment holding company, produces and distributes dairy products in the Peopl... More
China Mengniu 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 Mengniu's pink sheet 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 Mengniu Dairy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.69 | |||
| Information Ratio | 0.1023 | |||
| Maximum Drawdown | 33.77 | |||
| Value At Risk | (6.20) | |||
| Potential Upside | 10.7 |
China Mengniu Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for China Mengniu's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as China Mengniu's standard deviation. In reality, there are many statistical measures that can use China Mengniu historical prices to predict the future China Mengniu's volatility.| Risk Adjusted Performance | 0.1053 | |||
| Jensen Alpha | 0.5867 | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | 0.1144 | |||
| Treynor Ratio | 1.16 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of China Mengniu'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 Mengniu Dairy Backtested Returns
China Mengniu appears to be not too volatile, given 3 months investment horizon. China Mengniu Dairy secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12% return per unit of risk over the last 3 months. By analyzing China Mengniu's technical indicators, you can evaluate if the expected return of 0.61% is justified by implied risk. Please makes use of China Mengniu's Mean Deviation of 3.54, risk adjusted performance of 0.1053, and Downside Deviation of 4.69 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, China Mengniu holds a performance score of 9. The firm shows a Beta (market volatility) of 0.56, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, China Mengniu's returns are expected to increase less than the market. However, during the bear market, the loss of holding China Mengniu is expected to be smaller as well. Please check China Mengniu's potential upside, and the relationship between the total risk alpha and kurtosis , to make a quick decision on whether China Mengniu's price patterns will revert.
Auto-correlation | -0.68 |
Very good reverse predictability
China Mengniu Dairy has very good reverse predictability. Overlapping area represents the amount of predictability between China Mengniu time series from 5th of December 2023 to 2nd of June 2024 and 2nd of June 2024 to 29th of November 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 Mengniu Dairy price movement. The serial correlation of -0.68 indicates that around 68.0% of current China Mengniu price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.68 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 8.44 |
China Mengniu Dairy lagged returns against current returns
Autocorrelation, which is China Mengniu pink sheet'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 Mengniu's pink sheet expected returns. We can calculate the autocorrelation of China Mengniu returns to help us make a trade decision. For example, suppose you find that China Mengniu has exhibited high autocorrelation historically, and you observe that the pink sheet 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 Mengniu 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 Mengniu pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if China Mengniu pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in China Mengniu pink sheet over time.
Current vs Lagged Prices |
| Timeline |
China Mengniu Lagged Returns
When evaluating China Mengniu's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of China Mengniu pink sheet have on its future price. China Mengniu 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 Mengniu autocorrelation shows the relationship between China Mengniu pink sheet current value and its past values and can show if there is a momentum factor associated with investing in China Mengniu Dairy.
Regressed Prices |
| Timeline |
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When running China Mengniu's price analysis, check to measure China Mengniu'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 China Mengniu is operating at the current time. Most of China Mengniu's value examination focuses on studying past and present price action to predict the probability of China Mengniu's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move China Mengniu's price. Additionally, you may evaluate how the addition of China Mengniu to your portfolios can decrease your overall portfolio volatility.