BASF SE (Germany) Market Value
| BAS Stock | 42.30 0.71 1.65% |
| Symbol | BASF |
BASF SE '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 BASF SE'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 BASF SE.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in BASF SE on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding BASF SE or generate 0.0% return on investment in BASF SE over 30 days. BASF SE is related to or competes with PKSHA TECHNOLOGY, BioNTech, PT Indofood, SOFI TECHNOLOGIES, AUSNUTRIA DAIRY, TYSON FOODS, and TreeHouse Foods. More
BASF SE 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 BASF SE'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 BASF SE upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 11.76 | |||
| Value At Risk | (2.89) | |||
| Potential Upside | 2.37 |
BASF SE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BASF SE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BASF SE's standard deviation. In reality, there are many statistical measures that can use BASF SE historical prices to predict the future BASF SE's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.35) | |||
| Treynor Ratio | (0.11) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BASF SE'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.
BASF SE Backtested Returns
BASF SE secures Sharpe Ratio (or Efficiency) of -0.0563, which signifies that the company had a -0.0563% return per unit of risk over the last 3 months. BASF SE exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm BASF SE's Variance of 3.35, coefficient of variation of (3,584), and Mean Deviation of 1.29 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.54, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, BASF SE's returns are expected to increase less than the market. However, during the bear market, the loss of holding BASF SE is expected to be smaller as well. At this point, BASF SE has a negative expected return of -0.1%. Please make sure to confirm BASF SE's potential upside, as well as the relationship between the daily balance of power and price action indicator , to decide if BASF SE performance from the past will be repeated in the future.
Auto-correlation | 0.03 |
Virtually no predictability
BASF SE has virtually no predictability. Overlapping area represents the amount of predictability between BASF SE time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 BASF SE price movement. The serial correlation of 0.03 indicates that only 3.0% of current BASF SE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.03 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
BASF SE lagged returns against current returns
Autocorrelation, which is BASF SE 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 BASF SE's stock expected returns. We can calculate the autocorrelation of BASF SE returns to help us make a trade decision. For example, suppose you find that BASF SE 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 |
BASF SE 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 BASF SE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BASF SE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BASF SE stock over time.
Current vs Lagged Prices |
| Timeline |
BASF SE Lagged Returns
When evaluating BASF SE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BASF SE stock have on its future price. BASF SE 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, BASF SE autocorrelation shows the relationship between BASF SE stock current value and its past values and can show if there is a momentum factor associated with investing in BASF SE.
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 BASF Stock Analysis
When running BASF SE's price analysis, check to measure BASF SE'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 BASF SE is operating at the current time. Most of BASF SE's value examination focuses on studying past and present price action to predict the probability of BASF SE's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move BASF SE's price. Additionally, you may evaluate how the addition of BASF SE to your portfolios can decrease your overall portfolio volatility.