Canadian National Railway Stock Market Value
CNR Stock | CAD 177.19 1.72 0.98% |
Symbol | Canadian |
Canadian National Railway Price To Book Ratio
Canadian National '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 Canadian National'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 Canadian National.
02/23/2024 |
| 04/23/2024 |
If you would invest 0.00 in Canadian National on February 23, 2024 and sell it all today you would earn a total of 0.00 from holding Canadian National Railway or generate 0.0% return on investment in Canadian National over 60 days. Canadian National is related to or competes with WSP Global, Waste Connections, Open Text, Cargojet, and BRP. Canadian National Railway Company, together with its subsidiaries, engages in the rail and related transportation busine... More
Canadian National 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 Canadian National'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 Canadian National Railway upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.9358 | |||
Information Ratio | (0.0005) | |||
Maximum Drawdown | 4.66 | |||
Value At Risk | (1.40) | |||
Potential Upside | 1.56 |
Canadian National Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Canadian National's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Canadian National's standard deviation. In reality, there are many statistical measures that can use Canadian National historical prices to predict the future Canadian National's volatility.Risk Adjusted Performance | 0.065 | |||
Jensen Alpha | 0.0212 | |||
Total Risk Alpha | (0.03) | |||
Sortino Ratio | (0.0005) | |||
Treynor Ratio | 0.1084 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Canadian National'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.
Canadian National Railway Backtested Returns
We consider Canadian National very steady. Canadian National Railway secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had a 0.13% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Canadian National Railway, which you can use to evaluate the volatility of the firm. Please confirm Canadian National's Mean Deviation of 0.6538, downside deviation of 0.9358, and Risk Adjusted Performance of 0.065 to double-check if the risk estimate we provide is consistent with the expected return of 0.11%. Canadian National has a performance score of 10 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.73, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Canadian National's returns are expected to increase less than the market. However, during the bear market, the loss of holding Canadian National is expected to be smaller as well. Canadian National Railway right now shows a risk of 0.86%. Please confirm Canadian National Railway sortino ratio, skewness, price action indicator, as well as the relationship between the potential upside and rate of daily change , to decide if Canadian National Railway will be following its price patterns.
Auto-correlation | -0.11 |
Insignificant reverse predictability
Canadian National Railway has insignificant reverse predictability. Overlapping area represents the amount of predictability between Canadian National time series from 23rd of February 2024 to 24th of March 2024 and 24th of March 2024 to 23rd of April 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 Canadian National Railway price movement. The serial correlation of -0.11 indicates that less than 11.0% of current Canadian National price fluctuation can be explain by its past prices.
Correlation Coefficient | -0.11 | |
Spearman Rank Test | -0.11 | |
Residual Average | 0.0 | |
Price Variance | 1.47 |
Canadian National Railway lagged returns against current returns
Autocorrelation, which is Canadian National 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 Canadian National's stock expected returns. We can calculate the autocorrelation of Canadian National returns to help us make a trade decision. For example, suppose you find that Canadian National 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 |
Canadian National 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 Canadian National stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Canadian National stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Canadian National stock over time.
Current vs Lagged Prices |
Timeline |
Canadian National Lagged Returns
When evaluating Canadian National's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Canadian National stock have on its future price. Canadian National 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, Canadian National autocorrelation shows the relationship between Canadian National stock current value and its past values and can show if there is a momentum factor associated with investing in Canadian National Railway.
Regressed Prices |
Timeline |
Pair Trading with Canadian National
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 Canadian National 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 Canadian National will appreciate offsetting losses from the drop in the long position's value.Moving together with Canadian Stock
0.61 | EXN | Excellon Resources | PairCorr |
Moving against Canadian Stock
0.66 | FSY | Forsys Metals Corp | PairCorr |
The ability to find closely correlated positions to Canadian National could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Canadian National 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 Canadian National - 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 Canadian National Railway to buy it.
The correlation of Canadian National 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 Canadian National moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Canadian National Railway 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 Canadian National 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.Check out Canadian National Correlation, Canadian National Volatility and Canadian National Alpha and Beta module to complement your research on Canadian National. You can also try the CEOs Directory module to screen CEOs from public companies around the world.
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When running Canadian National's price analysis, check to measure Canadian National'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 Canadian National is operating at the current time. Most of Canadian National's value examination focuses on studying past and present price action to predict the probability of Canadian National's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Canadian National's price. Additionally, you may evaluate how the addition of Canadian National to your portfolios can decrease your overall portfolio volatility.
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Canadian National technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.