Bausch Health Companies Stock Market Value
| BHC Stock | CAD 11.13 0.04 0.36% |
| Symbol | Bausch |
Bausch Health Companies Price To Book Ratio
Bausch Health '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 Bausch Health'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 Bausch Health.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Bausch Health on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Bausch Health Companies or generate 0.0% return on investment in Bausch Health over 30 days. Bausch Health is related to or competes with IShares Canadian, Altagas Cum, European Residential, RBC Discount, and IShares SPTSX. Bausch Health Companies Inc. develops, manufactures, and markets a range of pharmaceutical, medical device, and over-the... More
Bausch Health 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 Bausch Health'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 Bausch Health Companies upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.76 | |||
| Information Ratio | 0.1389 | |||
| Maximum Drawdown | 18.23 | |||
| Value At Risk | (2.72) | |||
| Potential Upside | 6.56 |
Bausch Health Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bausch Health's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bausch Health's standard deviation. In reality, there are many statistical measures that can use Bausch Health historical prices to predict the future Bausch Health's volatility.| Risk Adjusted Performance | 0.1461 | |||
| Jensen Alpha | 0.5449 | |||
| Total Risk Alpha | 0.0625 | |||
| Sortino Ratio | 0.2477 | |||
| Treynor Ratio | 5.68 |
Bausch Health Companies Backtested Returns
Bausch Health appears to be somewhat reliable, given 3 months investment horizon. Bausch Health Companies secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the company had a 0.18% return per unit of risk over the last 3 months. By analyzing Bausch Health's technical indicators, you can evaluate if the expected return of 0.57% is justified by implied risk. Please makes use of Bausch Health's Risk Adjusted Performance of 0.1461, downside deviation of 1.76, and Mean Deviation of 2.03 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bausch Health holds a performance score of 14. The firm shows a Beta (market volatility) of 0.0981, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bausch Health's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bausch Health is expected to be smaller as well. Please check Bausch Health's expected short fall, day median price, and the relationship between the potential upside and accumulation distribution , to make a quick decision on whether Bausch Health's price patterns will revert.
Auto-correlation | -0.78 |
Almost perfect reverse predictability
Bausch Health Companies has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Bausch Health time series from 26th of October 2024 to 10th of November 2024 and 10th of November 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 Bausch Health Companies price movement. The serial correlation of -0.78 indicates that around 78.0% of current Bausch Health price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.78 | |
| Spearman Rank Test | -0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 0.37 |
Bausch Health Companies lagged returns against current returns
Autocorrelation, which is Bausch Health 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 Bausch Health's stock expected returns. We can calculate the autocorrelation of Bausch Health returns to help us make a trade decision. For example, suppose you find that Bausch Health 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 |
Bausch Health 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 Bausch Health stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bausch Health stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bausch Health stock over time.
Current vs Lagged Prices |
| Timeline |
Bausch Health Lagged Returns
When evaluating Bausch Health's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bausch Health stock have on its future price. Bausch Health 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, Bausch Health autocorrelation shows the relationship between Bausch Health stock current value and its past values and can show if there is a momentum factor associated with investing in Bausch Health Companies.
Regressed Prices |
| Timeline |
Pair Trading with Bausch Health
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 Bausch Health 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 Bausch Health will appreciate offsetting losses from the drop in the long position's value.Moving together with Bausch Stock
| 0.78 | RY | Royal Bank | PairCorr |
| 0.8 | AMZN | Amazon CDR | PairCorr |
| 0.83 | BNS | Bank of Nova Scotia Earnings Call Next Week | PairCorr |
The ability to find closely correlated positions to Bausch Health could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bausch Health 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 Bausch Health - 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 Bausch Health Companies to buy it.
The correlation of Bausch Health 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 Bausch Health moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bausch Health Companies 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 Bausch Health 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.Check out Bausch Health Correlation, Bausch Health Volatility and Bausch Health Alpha and Beta module to complement your research on Bausch Health. You can also try the Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Bausch Health technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.