BAE Systems (UK) Market Value
| BA Stock | 1,334 8.50 0.64% |
| Symbol | BAE |
BAE Systems '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 BAE Systems' 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 BAE Systems.
| 09/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in BAE Systems on September 26, 2024 and sell it all today you would earn a total of 0.00 from holding BAE Systems plc or generate 0.0% return on investment in BAE Systems over 60 days. BAE Systems is related to or competes with Automatic Data, Zoom Video, Gamma Communications, Ross Stores, Ion Beam, MTI Wireless, and Charter Communications. BAE Systems is entity of United Kingdom. It is traded as Stock on LSE exchange. More
BAE Systems 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 BAE Systems' 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 BAE Systems plc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.71 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 7.6 | |||
| Value At Risk | (2.68) | |||
| Potential Upside | 2.85 |
BAE Systems Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BAE Systems' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BAE Systems' standard deviation. In reality, there are many statistical measures that can use BAE Systems historical prices to predict the future BAE Systems' volatility.| Risk Adjusted Performance | 0.027 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.22) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0381 |
BAE Systems plc Backtested Returns
At this point, BAE Systems is very steady. BAE Systems plc secures Sharpe Ratio (or Efficiency) of 0.0263, which signifies that the company had a 0.0263% return per unit of risk over the last 3 months. We have found thirty technical indicators for BAE Systems plc, which you can use to evaluate the volatility of the entity. Please confirm BAE Systems' mean deviation of 1.23, and Coefficient Of Variation of 3548.11 to double-check if the risk estimate we provide is consistent with the expected return of 0.0438%. BAE Systems has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.96, which signifies possible diversification benefits within a given portfolio. BAE Systems returns are very sensitive to returns on the market. As the market goes up or down, BAE Systems is expected to follow. BAE Systems plc at this moment shows a risk of 1.67%. Please confirm BAE Systems plc potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to decide if BAE Systems plc will be following its price patterns.
Auto-correlation | 0.07 |
Virtually no predictability
BAE Systems plc has virtually no predictability. Overlapping area represents the amount of predictability between BAE Systems time series from 26th of September 2024 to 26th of October 2024 and 26th of October 2024 to 25th 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 BAE Systems plc price movement. The serial correlation of 0.07 indicates that barely 7.0% of current BAE Systems price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.07 | |
| Spearman Rank Test | 0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 1860.38 |
BAE Systems plc lagged returns against current returns
Autocorrelation, which is BAE Systems 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 BAE Systems' stock expected returns. We can calculate the autocorrelation of BAE Systems returns to help us make a trade decision. For example, suppose you find that BAE Systems 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 |
BAE Systems 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 BAE Systems stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BAE Systems stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BAE Systems stock over time.
Current vs Lagged Prices |
| Timeline |
BAE Systems Lagged Returns
When evaluating BAE Systems' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BAE Systems stock have on its future price. BAE Systems 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, BAE Systems autocorrelation shows the relationship between BAE Systems stock current value and its past values and can show if there is a momentum factor associated with investing in BAE Systems plc.
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.Other Information on Investing in BAE Stock
BAE Systems financial ratios help investors to determine whether BAE Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in BAE with respect to the benefits of owning BAE Systems security.