Benefit Systems (Poland) Market Value
| BFT Stock | 2,660 15.00 0.56% |
| Symbol | Benefit |
Benefit 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 Benefit 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 Benefit Systems.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Benefit Systems on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Benefit Systems SA or generate 0.0% return on investment in Benefit Systems over 720 days.
Benefit 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 Benefit 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 Benefit Systems SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.96 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 8.79 | |||
| Value At Risk | (2.89) | |||
| Potential Upside | 2.6 |
Benefit Systems Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Benefit Systems' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Benefit Systems' standard deviation. In reality, there are many statistical measures that can use Benefit Systems historical prices to predict the future Benefit Systems' volatility.| Risk Adjusted Performance | 0.0396 | |||
| Jensen Alpha | 0.0612 | |||
| Total Risk Alpha | (0.23) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 1.12 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Benefit 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.
Benefit Systems SA Backtested Returns
Currently, Benefit Systems SA is very steady. Benefit Systems SA secures Sharpe Ratio (or Efficiency) of 0.0526, which signifies that the company had a 0.0526% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Benefit Systems SA, which you can use to evaluate the volatility of the firm. Please confirm Benefit Systems' Downside Deviation of 1.96, mean deviation of 1.39, and Risk Adjusted Performance of 0.0396 to double-check if the risk estimate we provide is consistent with the expected return of 0.0944%. Benefit Systems has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0615, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Benefit Systems' returns are expected to increase less than the market. However, during the bear market, the loss of holding Benefit Systems is expected to be smaller as well. Benefit Systems SA right now shows a risk of 1.79%. Please confirm Benefit Systems SA sortino ratio, skewness, price action indicator, as well as the relationship between the potential upside and rate of daily change , to decide if Benefit Systems SA will be following its price patterns.
Auto-correlation | 0.54 |
Modest predictability
Benefit Systems SA has modest predictability. Overlapping area represents the amount of predictability between Benefit Systems time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd of December 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 Benefit Systems SA price movement. The serial correlation of 0.54 indicates that about 54.0% of current Benefit Systems price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 62.4 K |
Benefit Systems SA lagged returns against current returns
Autocorrelation, which is Benefit 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 Benefit Systems' stock expected returns. We can calculate the autocorrelation of Benefit Systems returns to help us make a trade decision. For example, suppose you find that Benefit 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 |
Benefit 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 Benefit Systems stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Benefit Systems stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Benefit Systems stock over time.
Current vs Lagged Prices |
| Timeline |
Benefit Systems Lagged Returns
When evaluating Benefit Systems' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Benefit Systems stock have on its future price. Benefit 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, Benefit Systems autocorrelation shows the relationship between Benefit Systems stock current value and its past values and can show if there is a momentum factor associated with investing in Benefit Systems SA.
Regressed Prices |
| Timeline |
Pair Trading with Benefit Systems
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 Benefit Systems 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 Benefit Systems will appreciate offsetting losses from the drop in the long position's value.Moving against Benefit Stock
The ability to find closely correlated positions to Benefit Systems could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Benefit Systems 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 Benefit Systems - 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 Benefit Systems SA to buy it.
The correlation of Benefit Systems 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 Benefit Systems moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Benefit Systems 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 Benefit Systems 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 Benefit Stock Analysis
When running Benefit Systems' price analysis, check to measure Benefit 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 Benefit Systems is operating at the current time. Most of Benefit Systems' value examination focuses on studying past and present price action to predict the probability of Benefit Systems' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Benefit Systems' price. Additionally, you may evaluate how the addition of Benefit Systems to your portfolios can decrease your overall portfolio volatility.