Empresas CMPC (Chile) Market Value
| CMPC Stock | CLP 1,535 18.80 1.24% |
| Symbol | Empresas |
Empresas CMPC '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 Empresas CMPC'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 Empresas CMPC.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in Empresas CMPC on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding Empresas CMPC or generate 0.0% return on investment in Empresas CMPC over 30 days. Empresas CMPC is related to or competes with Empresas Copec, Cencosud, Falabella, Sociedad Qumica, and Banco De. Empresas CMPC S.A., a forestry company, produces, markets, sells, and exports wood products, pulp, paper, and tissue pro... More
Empresas CMPC 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 Empresas CMPC'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 Empresas CMPC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 5.92 | |||
| Value At Risk | (2.28) | |||
| Potential Upside | 2.02 |
Empresas CMPC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Empresas CMPC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Empresas CMPC's standard deviation. In reality, there are many statistical measures that can use Empresas CMPC historical prices to predict the future Empresas CMPC's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | 0.2373 |
Empresas CMPC Backtested Returns
As of now, Empresas Stock is very steady. Empresas CMPC secures Sharpe Ratio (or Efficiency) of 0.0254, which denotes the company had a 0.0254% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for Empresas CMPC, which you can use to evaluate the volatility of the firm. Please confirm Empresas CMPC's Standard Deviation of 1.34, mean deviation of 1.08, and Variance of 1.79 to check if the risk estimate we provide is consistent with the expected return of 0.0322%. Empresas CMPC has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.13, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Empresas CMPC are expected to decrease at a much lower rate. During the bear market, Empresas CMPC is likely to outperform the market. Empresas CMPC right now shows a risk of 1.27%. Please confirm Empresas CMPC total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Empresas CMPC will be following its price patterns.
Auto-correlation | 0.24 |
Weak predictability
Empresas CMPC has weak predictability. Overlapping area represents the amount of predictability between Empresas CMPC time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 2024 to 2nd 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 Empresas CMPC price movement. The serial correlation of 0.24 indicates that over 24.0% of current Empresas CMPC price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 85.06 |
Empresas CMPC lagged returns against current returns
Autocorrelation, which is Empresas CMPC 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 Empresas CMPC's stock expected returns. We can calculate the autocorrelation of Empresas CMPC returns to help us make a trade decision. For example, suppose you find that Empresas CMPC 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 |
Empresas CMPC 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 Empresas CMPC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Empresas CMPC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Empresas CMPC stock over time.
Current vs Lagged Prices |
| Timeline |
Empresas CMPC Lagged Returns
When evaluating Empresas CMPC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Empresas CMPC stock have on its future price. Empresas CMPC 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, Empresas CMPC autocorrelation shows the relationship between Empresas CMPC stock current value and its past values and can show if there is a momentum factor associated with investing in Empresas CMPC.
Regressed Prices |
| Timeline |
Pair Trading with Empresas CMPC
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Empresas CMPC position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Empresas CMPC will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Empresas CMPC could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Empresas CMPC when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Empresas CMPC - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Empresas CMPC to buy it.
The correlation of Empresas CMPC is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Empresas CMPC moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Empresas CMPC moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Empresas CMPC can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Empresas Stock
Empresas CMPC financial ratios help investors to determine whether Empresas 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 Empresas with respect to the benefits of owning Empresas CMPC security.