CTBC Financial (Taiwan) Market Value
| 2891 Stock | TWD 37.20 0.35 0.95% |
| Symbol | CTBC |
CTBC Financial '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 CTBC Financial'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 CTBC Financial.
| 05/10/2024 |
| 06/09/2024 |
If you would invest 0.00 in CTBC Financial on May 10, 2024 and sell it all today you would earn a total of 0.00 from holding CTBC Financial Holding or generate 0.0% return on investment in CTBC Financial over 30 days. CTBC Financial is related to or competes with Fubon Financial, Mega Financial, First Financial, and Formosa Plastics. CTBC Financial Holding Co., Ltd. engages in the banking, bills financing, credit card, trust, insurance, securities, fut... More
CTBC Financial 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 CTBC Financial'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 CTBC Financial Holding upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.6 | |||
| Information Ratio | 0.1856 | |||
| Maximum Drawdown | 12.49 | |||
| Value At Risk | (2.50) | |||
| Potential Upside | 3.74 |
CTBC Financial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CTBC Financial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CTBC Financial's standard deviation. In reality, there are many statistical measures that can use CTBC Financial historical prices to predict the future CTBC Financial's volatility.| Risk Adjusted Performance | 0.1278 | |||
| Jensen Alpha | 0.3744 | |||
| Total Risk Alpha | 0.3552 | |||
| Sortino Ratio | 0.2319 | |||
| Treynor Ratio | 0.5602 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CTBC Financial'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.
CTBC Financial Holding Backtested Returns
CTBC Financial appears to be very steady, given 3 months investment horizon. CTBC Financial Holding retains Efficiency (Sharpe Ratio) of 0.17, which signifies that the company had a 0.17% return per unit of risk over the last 3 months. We have found thirty technical indicators for CTBC Financial, which you can use to evaluate the volatility of the firm. Please makes use of CTBC Financial's market risk adjusted performance of 0.5702, and Coefficient Of Variation of 514.61 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CTBC Financial holds a performance score of 13. The firm owns a Beta (Systematic Risk) of 0.68, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, CTBC Financial's returns are expected to increase less than the market. However, during the bear market, the loss of holding CTBC Financial is expected to be smaller as well. Please check CTBC Financial's downside deviation, standard deviation, and the relationship between the semi deviation and coefficient of variation , to make a quick decision on whether CTBC Financial's current price history will revert.
Auto-correlation | 0.18 |
Very weak predictability
CTBC Financial Holding has very weak predictability. Overlapping area represents the amount of predictability between CTBC Financial time series from 10th of May 2024 to 25th of May 2024 and 25th of May 2024 to 9th of June 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 CTBC Financial Holding price movement. The serial correlation of 0.18 indicates that over 18.0% of current CTBC Financial price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 0.47 |
CTBC Financial Holding lagged returns against current returns
Autocorrelation, which is CTBC Financial 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 CTBC Financial's stock expected returns. We can calculate the autocorrelation of CTBC Financial returns to help us make a trade decision. For example, suppose you find that CTBC Financial 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 |
CTBC Financial 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 CTBC Financial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CTBC Financial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CTBC Financial stock over time.
Current vs Lagged Prices |
| Timeline |
CTBC Financial Lagged Returns
When evaluating CTBC Financial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CTBC Financial stock have on its future price. CTBC Financial 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, CTBC Financial autocorrelation shows the relationship between CTBC Financial stock current value and its past values and can show if there is a momentum factor associated with investing in CTBC Financial Holding.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for CTBC Stock Analysis
When running CTBC Financial's price analysis, check to measure CTBC Financial'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 CTBC Financial is operating at the current time. Most of CTBC Financial's value examination focuses on studying past and present price action to predict the probability of CTBC Financial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move CTBC Financial's price. Additionally, you may evaluate how the addition of CTBC Financial to your portfolios can decrease your overall portfolio volatility.