Betacom SA (Poland) Market Value
| BCM Stock | 4.36 0.06 1.40% |
| Symbol | Betacom |
Betacom SA '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 Betacom SA'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 Betacom SA.
| 09/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Betacom SA on September 23, 2024 and sell it all today you would earn a total of 0.00 from holding Betacom SA or generate 0.0% return on investment in Betacom SA over 60 days. Betacom SA is related to or competes with Asseco Business, Movie Games, Igoria Trade, and Bank Millennium. More
Betacom SA 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 Betacom SA'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 Betacom SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.81 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 13.01 | |||
| Value At Risk | (4.07) | |||
| Potential Upside | 3.83 |
Betacom SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Betacom SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Betacom SA's standard deviation. In reality, there are many statistical measures that can use Betacom SA historical prices to predict the future Betacom SA's volatility.| Risk Adjusted Performance | 0.0295 | |||
| Jensen Alpha | 0.0693 | |||
| Total Risk Alpha | (0.24) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | (0.56) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Betacom SA'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.
Betacom SA Backtested Returns
Currently, Betacom SA is slightly risky. Betacom SA secures Sharpe Ratio (or Efficiency) of 0.0225, which signifies that the company had a 0.0225% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Betacom SA, which you can use to evaluate the volatility of the firm. Please confirm Betacom SA's Mean Deviation of 1.52, risk adjusted performance of 0.0295, and Downside Deviation of 2.81 to double-check if the risk estimate we provide is consistent with the expected return of 0.0529%. Betacom SA has a performance score of 1 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.1, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Betacom SA are expected to decrease at a much lower rate. During the bear market, Betacom SA is likely to outperform the market. Betacom SA right now shows a risk of 2.35%. Please confirm Betacom SA semi variance, and the relationship between the maximum drawdown and daily balance of power , to decide if Betacom SA will be following its price patterns.
Auto-correlation | 0.25 |
Poor predictability
Betacom SA has poor predictability. Overlapping area represents the amount of predictability between Betacom SA time series from 23rd of September 2024 to 23rd of October 2024 and 23rd of October 2024 to 22nd 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 Betacom SA price movement. The serial correlation of 0.25 indicates that over 25.0% of current Betacom SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.25 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Betacom SA lagged returns against current returns
Autocorrelation, which is Betacom SA 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 Betacom SA's stock expected returns. We can calculate the autocorrelation of Betacom SA returns to help us make a trade decision. For example, suppose you find that Betacom SA 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 |
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Betacom SA 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 Betacom SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Betacom SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Betacom SA stock over time.
Current vs Lagged Prices |
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Betacom SA Lagged Returns
When evaluating Betacom SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Betacom SA stock have on its future price. Betacom SA 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, Betacom SA autocorrelation shows the relationship between Betacom SA stock current value and its past values and can show if there is a momentum factor associated with investing in Betacom SA.
Regressed Prices |
| Timeline |
Pair Trading with Betacom SA
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 Betacom SA 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 Betacom SA will appreciate offsetting losses from the drop in the long position's value.Moving against Betacom Stock
The ability to find closely correlated positions to Betacom SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Betacom SA 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 Betacom SA - 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 Betacom SA to buy it.
The correlation of Betacom SA 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 Betacom SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Betacom 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 Betacom SA 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 Betacom Stock Analysis
When running Betacom SA's price analysis, check to measure Betacom SA'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 Betacom SA is operating at the current time. Most of Betacom SA's value examination focuses on studying past and present price action to predict the probability of Betacom SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Betacom SA's price. Additionally, you may evaluate how the addition of Betacom SA to your portfolios can decrease your overall portfolio volatility.