BAE Systems (UK) Market Value
| BA Stock | 1,214 16.50 1.38% |
| Symbol | BAE |
BAE 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 BAE 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 BAE Systems.
| 11/19/2023 |
| 12/13/2024 |
If you would invest 0.00 in BAE Systems on November 19, 2023 and sell it all today you would earn a total of 0.00 from holding BAE Systems plc or generate 0.0% return on investment in BAE Systems over 390 days. BAE Systems is related to or competes with Gear4music Plc, Bisichi Mining, National Beverage, Supermarket Income, Thor Mining, AfriTin Mining, and Beowulf Mining. BAE Systems is entity of United Kingdom. It is traded as Stock on LSE exchange. More
BAE 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 BAE 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 BAE Systems plc upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 9.81 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 2.85 |
BAE Systems Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BAE Systems' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BAE Systems' standard deviation. In reality, there are many statistical measures that can use BAE Systems historical prices to predict the future BAE Systems' volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.36) | |||
| Treynor Ratio | (0.51) |
BAE Systems plc Backtested Returns
BAE Systems plc secures Sharpe Ratio (or Efficiency) of -0.0641, which signifies that the company had a -0.0641% return per unit of risk over the last 3 months. BAE Systems plc exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm BAE Systems' variance of 3.21, and Mean Deviation of 1.35 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.22, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BAE Systems' returns are expected to increase less than the market. However, during the bear market, the loss of holding BAE Systems is expected to be smaller as well. At this point, BAE Systems plc has a negative expected return of -0.12%. Please make sure to confirm BAE Systems' value at risk, and the relationship between the jensen alpha and accumulation distribution , to decide if BAE Systems plc performance from the past will be repeated at some future date.
Auto-correlation | -0.23 |
Weak reverse predictability
BAE Systems plc has weak reverse predictability. Overlapping area represents the amount of predictability between BAE Systems time series from 19th of November 2023 to 1st of June 2024 and 1st of June 2024 to 13th 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 BAE Systems plc price movement. The serial correlation of -0.23 indicates that over 23.0% of current BAE Systems price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 1620.17 |
BAE Systems plc lagged returns against current returns
Autocorrelation, which is BAE 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 BAE Systems' stock expected returns. We can calculate the autocorrelation of BAE Systems returns to help us make a trade decision. For example, suppose you find that BAE 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 |
BAE 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 BAE Systems stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BAE Systems stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BAE Systems stock over time.
Current vs Lagged Prices |
| Timeline |
BAE Systems Lagged Returns
When evaluating BAE Systems' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BAE Systems stock have on its future price. BAE 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, BAE Systems autocorrelation shows the relationship between BAE Systems stock current value and its past values and can show if there is a momentum factor associated with investing in BAE Systems plc.
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.Other Information on Investing in BAE Stock
BAE Systems financial ratios help investors to determine whether BAE Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in BAE with respect to the benefits of owning BAE Systems security.