ICBC (Hong Kong) Backtesting

ICBC -- Hong Kong Stock  

HKD 6.24  0.04  0.65%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ICBC and determine expected loss or profit from investing in ICBC over given investment horizon. Check also ICBC Hype Analysis, ICBC Correlation, ICBC Valuation, ICBC Volatility as well as analyze ICBC Alpha and Beta and ICBC Performance
Investment Horizon     30 Days    Login   to change

ICBC 'What if' Analysis

November 15, 2017
No Change 0.00  0.0%
In 31 days
December 15, 2017
If you would invest  0.00  in ICBC on November 15, 2017 and sell it all today you would earn a total of 0.00 from holding ICBC or generate 0.0% return on investment in ICBC over 30 days. ICBC is related to or competes with HUISHANG BANK, CQRC BANK, CCB, BANK OF CHINA, ABC, and SHENGJINGBANK. It operates through Corporationrate Banking Personal Banking and Treasury Operations segments

ICBC Upside/Downside Indicators


ICBC Market Premium Indicators

ICBC lagged returns against current returns

 Current and Lagged Values 

ICBC regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ICBC Backtested Returns

We consider ICBC moderately volatile. ICBC retains Efficiency (Sharpe Ratio) of 0.1066 which attests that ICBC had 0.1066% of return per unit of return volatility over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for ICBC which you can use to evaluate future volatility of the entity. Please check out ICBC Downside Deviation of 1.61, Market Risk Adjusted Performance of 0.1989 and Semi Deviation of 1.28 to validate if risk estimate we provide are consistent with the epected return of 0.1514%. ICBC has performance score of 7 on a scale of 0 to 100. The corporation owns Beta (Systematic Risk) of 0.7846 which attests that as returns on market increase, ICBC returns are expected to increase less than the market. However during bear market, the loss on holding ICBC will be expected to be smaller as well.. Although it is extremely important to respect ICBC existing price patterns, it is better to be realistic regarding the information on equity price patterns. The philosophy towards determining future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating ICBC technical indicators you can at this time evaluate if the expected return of 0.1514% will be sustainable into the future. ICBC at this moment owns a risk of 1.4195%. Please check out ICBC Semi Deviation, Coefficient Of Variation and the relationship between Mean Deviation and Downside Deviation to decide if ICBC will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.6) 

Good reverse predictability

ICBC has good reverse predictability. Overlapping area represents the amount of predictability between ICBC time series from November 15, 2017 to November 30, 2017 and November 30, 2017 to December 15, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ICBC price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current ICBC price fluctuation can be explain by its past prices. Given that ICBC has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ICBC for similar time interval.
Correlation Coefficient -0.6
Spearman Rank Test 0.07
Price Variance 0.02
Lagged Price Variance 0.01

ICBC Lagged Returns

 Regressed Prices 

ICBC Performance vs Hang Seng

The median price of ICBC for the period between Wed, Nov 15, 2017 and Fri, Dec 15, 2017 is 6.12 with a coefficient of variation of 2.03. The daily time series for the period is distributed with a sample standard deviation of 0.12, arithmetic mean of 6.1, and mean deviation of 0.1. The Stock received some media coverage during the period.
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