Boryszew (Poland) Market Value
| BRS Stock | 5.05 0.02 0.40% |
| Symbol | Boryszew |
Boryszew '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 Boryszew'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 Boryszew.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Boryszew on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Boryszew SA or generate 0.0% return on investment in Boryszew over 30 days.
Boryszew 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 Boryszew'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 Boryszew SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8046 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 3.74 | |||
| Value At Risk | (1.34) | |||
| Potential Upside | 1.36 |
Boryszew Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Boryszew's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Boryszew's standard deviation. In reality, there are many statistical measures that can use Boryszew historical prices to predict the future Boryszew's volatility.| Risk Adjusted Performance | 0.0544 | |||
| Jensen Alpha | 0.0466 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 4.55 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Boryszew'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.
Boryszew SA Backtested Returns
Boryszew SA secures Sharpe Ratio (or Efficiency) of -0.0392, which signifies that the company had a -0.0392% return per unit of risk over the last 3 months. Boryszew SA exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Boryszew's Mean Deviation of 0.6446, risk adjusted performance of 0.0544, and Downside Deviation of 0.8046 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0105, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Boryszew's returns are expected to increase less than the market. However, during the bear market, the loss of holding Boryszew is expected to be smaller as well. At this point, Boryszew SA has a negative expected return of -0.044%. Please make sure to confirm Boryszew's treynor ratio, kurtosis, relative strength index, as well as the relationship between the downside variance and day median price , to decide if Boryszew SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.95 |
Near perfect reversele predictability
Boryszew SA has near perfect reversele predictability. Overlapping area represents the amount of predictability between Boryszew time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 Boryszew SA price movement. The serial correlation of -0.95 indicates that approximately 95.0% of current Boryszew price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.95 | |
| Spearman Rank Test | -0.81 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Boryszew SA lagged returns against current returns
Autocorrelation, which is Boryszew 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 Boryszew's stock expected returns. We can calculate the autocorrelation of Boryszew returns to help us make a trade decision. For example, suppose you find that Boryszew 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 |
Boryszew 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 Boryszew stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Boryszew stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Boryszew stock over time.
Current vs Lagged Prices |
| Timeline |
Boryszew Lagged Returns
When evaluating Boryszew's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Boryszew stock have on its future price. Boryszew 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, Boryszew autocorrelation shows the relationship between Boryszew stock current value and its past values and can show if there is a momentum factor associated with investing in Boryszew SA.
Regressed Prices |
| Timeline |
Pair Trading with Boryszew
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 Boryszew 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 Boryszew will appreciate offsetting losses from the drop in the long position's value.Moving together with Boryszew Stock
Moving against Boryszew Stock
| 0.76 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.65 | ALE | Allegroeu SA | PairCorr |
| 0.46 | PEO | Bank Polska Kasa | PairCorr |
| 0.44 | PCO | Pepco Group BV | PairCorr |
| 0.41 | SPL | Santander Bank Polska | PairCorr |
The ability to find closely correlated positions to Boryszew could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Boryszew 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 Boryszew - 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 Boryszew SA to buy it.
The correlation of Boryszew 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 Boryszew moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Boryszew 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 Boryszew 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 Boryszew Stock Analysis
When running Boryszew's price analysis, check to measure Boryszew'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 Boryszew is operating at the current time. Most of Boryszew's value examination focuses on studying past and present price action to predict the probability of Boryszew's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Boryszew's price. Additionally, you may evaluate how the addition of Boryszew to your portfolios can decrease your overall portfolio volatility.