CMC Magnetics (Taiwan) Market Value
| 2323 Stock | TWD 12.40 0.05 0.40% |
| Symbol | CMC |
CMC Magnetics '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 CMC Magnetics' 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 CMC Magnetics.
| 05/27/2024 |
| 06/26/2024 |
If you would invest 0.00 in CMC Magnetics on May 27, 2024 and sell it all today you would earn a total of 0.00 from holding CMC Magnetics Corp or generate 0.0% return on investment in CMC Magnetics over 30 days. CMC Magnetics is related to or competes with Mega Financial, Taiwan Semiconductor, Fubon Financial, CTBC Financial, First Financial, Yuanta Financial, and Cathay Financial. CMC Magnetics Corporation manufactures and distributes optical discs worldwide More
CMC Magnetics 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 CMC Magnetics' 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 CMC Magnetics Corp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.8 | |||
| Information Ratio | 0.0302 | |||
| Maximum Drawdown | 14.23 | |||
| Value At Risk | (2.59) | |||
| Potential Upside | 2.46 |
CMC Magnetics Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CMC Magnetics' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CMC Magnetics' standard deviation. In reality, there are many statistical measures that can use CMC Magnetics historical prices to predict the future CMC Magnetics' volatility.| Risk Adjusted Performance | 0.0193 | |||
| Jensen Alpha | 0.0297 | |||
| Total Risk Alpha | 0.1361 | |||
| Sortino Ratio | 0.035 | |||
| Treynor Ratio | 3.98 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CMC Magnetics' 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.
CMC Magnetics Corp Backtested Returns
At this stage we consider CMC Stock to be not too volatile. CMC Magnetics Corp retains Efficiency (Sharpe Ratio) of 0.0196, which signifies that the company had a 0.0196% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for CMC Magnetics, which you can use to evaluate the volatility of the firm. Please confirm CMC Magnetics' coefficient of variation of 5293.72, and Market Risk Adjusted Performance of 3.99 to double-check if the risk estimate we provide is consistent with the expected return of 0.0421%. CMC Magnetics has a performance score of 1 on a scale of 0 to 100. The firm owns a Beta (Systematic Risk) of 0.0074, which signifies not very significant fluctuations relative to the market. As returns on the market increase, CMC Magnetics' returns are expected to increase less than the market. However, during the bear market, the loss of holding CMC Magnetics is expected to be smaller as well. CMC Magnetics Corp at this time owns a risk of 2.14%. Please confirm CMC Magnetics Corp mean deviation, downside deviation, standard deviation, as well as the relationship between the semi deviation and coefficient of variation , to decide if CMC Magnetics Corp will be following its current price history.
Auto-correlation | -0.65 |
Very good reverse predictability
CMC Magnetics Corp has very good reverse predictability. Overlapping area represents the amount of predictability between CMC Magnetics time series from 27th of May 2024 to 11th of June 2024 and 11th of June 2024 to 26th 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 CMC Magnetics Corp price movement. The serial correlation of -0.65 indicates that roughly 65.0% of current CMC Magnetics price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.65 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
CMC Magnetics Corp lagged returns against current returns
Autocorrelation, which is CMC Magnetics 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 CMC Magnetics' stock expected returns. We can calculate the autocorrelation of CMC Magnetics returns to help us make a trade decision. For example, suppose you find that CMC Magnetics 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 |
CMC Magnetics 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 CMC Magnetics stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CMC Magnetics stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CMC Magnetics stock over time.
Current vs Lagged Prices |
| Timeline |
CMC Magnetics Lagged Returns
When evaluating CMC Magnetics' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CMC Magnetics stock have on its future price. CMC Magnetics 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, CMC Magnetics autocorrelation shows the relationship between CMC Magnetics stock current value and its past values and can show if there is a momentum factor associated with investing in CMC Magnetics Corp.
Regressed Prices |
| Timeline |
Also Currently Popular
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 CMC Stock Analysis
When running CMC Magnetics' price analysis, check to measure CMC Magnetics' 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 CMC Magnetics is operating at the current time. Most of CMC Magnetics' value examination focuses on studying past and present price action to predict the probability of CMC Magnetics' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move CMC Magnetics' price. Additionally, you may evaluate how the addition of CMC Magnetics to your portfolios can decrease your overall portfolio volatility.