Brand 24 (Poland) Market Value
| B24 Stock | 47.00 0.10 0.21% |
| Symbol | Brand |
Brand 24 '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 Brand 24'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 Brand 24.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in Brand 24 on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding Brand 24 SA or generate 0.0% return on investment in Brand 24 over 180 days.
Brand 24 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 Brand 24'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 Brand 24 SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.65 | |||
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 3.41 | |||
| Value At Risk | (1.05) | |||
| Potential Upside | 1.3 |
Brand 24 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brand 24's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brand 24's standard deviation. In reality, there are many statistical measures that can use Brand 24 historical prices to predict the future Brand 24's volatility.| Risk Adjusted Performance | 7.0E-4 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.21) | |||
| Treynor Ratio | (0.03) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brand 24'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.
Brand 24 SA Backtested Returns
Currently, Brand 24 SA is very steady. Brand 24 SA secures Sharpe Ratio (or Efficiency) of 0.0033, which signifies that the company had a 0.0033% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for Brand 24 SA, which you can use to evaluate the volatility of the firm. Please confirm Brand 24's risk adjusted performance of 7.0E-4, and Mean Deviation of 0.447 to double-check if the risk estimate we provide is consistent with the expected return of 0.0022%. The firm shows a Beta (market volatility) of 0.31, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Brand 24's returns are expected to increase less than the market. However, during the bear market, the loss of holding Brand 24 is expected to be smaller as well. Brand 24 SA right now shows a risk of 0.67%. Please confirm Brand 24 SA mean deviation, standard deviation, treynor ratio, as well as the relationship between the downside deviation and total risk alpha , to decide if Brand 24 SA will be following its price patterns.
Auto-correlation | 0.29 |
Poor predictability
Brand 24 SA has poor predictability. Overlapping area represents the amount of predictability between Brand 24 time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 2024 to 30th of November 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 Brand 24 SA price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Brand 24 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.36 |
Brand 24 SA lagged returns against current returns
Autocorrelation, which is Brand 24 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 Brand 24's stock expected returns. We can calculate the autocorrelation of Brand 24 returns to help us make a trade decision. For example, suppose you find that Brand 24 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 |
Brand 24 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 Brand 24 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brand 24 stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brand 24 stock over time.
Current vs Lagged Prices |
| Timeline |
Brand 24 Lagged Returns
When evaluating Brand 24's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brand 24 stock have on its future price. Brand 24 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, Brand 24 autocorrelation shows the relationship between Brand 24 stock current value and its past values and can show if there is a momentum factor associated with investing in Brand 24 SA.
Regressed Prices |
| Timeline |
Pair Trading with Brand 24
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 Brand 24 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 Brand 24 will appreciate offsetting losses from the drop in the long position's value.Moving together with Brand Stock
Moving against Brand Stock
| 0.61 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.45 | ALE | Allegroeu SA | PairCorr |
| 0.45 | PCO | Pepco Group BV | PairCorr |
| 0.33 | KGH | KGHM Polska Miedz | PairCorr |
The ability to find closely correlated positions to Brand 24 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Brand 24 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 Brand 24 - 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 Brand 24 SA to buy it.
The correlation of Brand 24 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 Brand 24 moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Brand 24 SA 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 Brand 24 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.Additional Tools for Brand Stock Analysis
When running Brand 24's price analysis, check to measure Brand 24'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 Brand 24 is operating at the current time. Most of Brand 24's value examination focuses on studying past and present price action to predict the probability of Brand 24's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Brand 24's price. Additionally, you may evaluate how the addition of Brand 24 to your portfolios can decrease your overall portfolio volatility.