Bae Systems Plc Stock Market Value
| BAESY Stock | USD 65.98 0.99 1.48% |
| 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' pink sheet 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.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in BAE Systems on October 24, 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 30 days. BAE Systems is related to or competes with Element Solutions, Orion Engineered, Minerals Technologies, Ingevity Corp, Hawkins, Crown Electrokinetics, and Core Molding. BAE Systems plc provides defense, aerospace, and security solutions worldwide 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' pink sheet 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.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 7.54 | |||
| Value At Risk | (3.48) | |||
| Potential Upside | 2.37 |
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) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.26) | |||
| Treynor Ratio | (0.09) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BAE Systems' 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.
BAE Systems PLC Backtested Returns
BAE Systems PLC secures Sharpe Ratio (or Efficiency) of -0.0261, which signifies that the company had a -0.0261% return per unit of risk over the last 3 months. BAE Systems PLC exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm BAE Systems' variance of 2.98, and Mean Deviation of 1.26 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.39, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, BAE Systems' returns are expected to increase less than the market. However, during the bear market, the loss of holding BAE Systems is expected to be smaller as well. At this point, BAE Systems PLC has a negative expected return of -0.0462%. Please make sure to confirm BAE Systems' treynor ratio, as well as the relationship between the accumulation distribution and price action indicator , to decide if BAE Systems PLC performance from the past will be repeated at some future date.
Auto-correlation | 0.09 |
Virtually no predictability
BAE Systems PLC has virtually no predictability. Overlapping area represents the amount of predictability between BAE Systems time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd 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 0.09 indicates that less than 9.0% of current BAE Systems price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 5.81 |
BAE Systems PLC lagged returns against current returns
Autocorrelation, which is BAE Systems pink sheet'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' pink sheet 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 pink sheet 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 pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BAE Systems pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BAE Systems pink sheet 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 pink sheet 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 pink sheet 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 |
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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 BAE Pink Sheet Analysis
When running BAE Systems' price analysis, check to measure BAE Systems' 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 BAE Systems is operating at the current time. Most of BAE Systems' value examination focuses on studying past and present price action to predict the probability of BAE Systems' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move BAE Systems' price. Additionally, you may evaluate how the addition of BAE Systems to your portfolios can decrease your overall portfolio volatility.