Beco Steel (Pakistan) Market Value
| BECO Stock | 8.41 0.34 4.21% |
| Symbol | Beco |
Beco Steel '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 Beco Steel'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 Beco Steel.
| 11/14/2024 |
| 12/14/2024 |
If you would invest 0.00 in Beco Steel on November 14, 2024 and sell it all today you would earn a total of 0.00 from holding Beco Steel or generate 0.0% return on investment in Beco Steel over 30 days.
Beco Steel 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 Beco Steel'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 Beco Steel upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.63 | |||
| Information Ratio | 0.0905 | |||
| Maximum Drawdown | 25.41 | |||
| Value At Risk | (5.14) | |||
| Potential Upside | 8.51 |
Beco Steel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Beco Steel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Beco Steel's standard deviation. In reality, there are many statistical measures that can use Beco Steel historical prices to predict the future Beco Steel's volatility.| Risk Adjusted Performance | 0.0904 | |||
| Jensen Alpha | 0.4735 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | 0.1095 | |||
| Treynor Ratio | 3.07 |
Beco Steel Backtested Returns
Beco Steel appears to be slightly risky, given 3 months investment horizon. Beco Steel secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12% return per unit of standard deviation over the last 3 months. By analyzing Beco Steel's technical indicators, you can evaluate if the expected return of 0.55% is justified by implied risk. Please makes use of Beco Steel's mean deviation of 3.1, and Risk Adjusted Performance of 0.0904 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Beco Steel holds a performance score of 9. The firm shows a Beta (market volatility) of 0.16, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Beco Steel's returns are expected to increase less than the market. However, during the bear market, the loss of holding Beco Steel is expected to be smaller as well. Please check Beco Steel's market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to make a quick decision on whether Beco Steel's price patterns will revert.
Auto-correlation | -0.56 |
Good reverse predictability
Beco Steel has good reverse predictability. Overlapping area represents the amount of predictability between Beco Steel time series from 14th of November 2024 to 29th of November 2024 and 29th of November 2024 to 14th 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 Beco Steel price movement. The serial correlation of -0.56 indicates that roughly 56.0% of current Beco Steel price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.56 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 1.35 |
Beco Steel lagged returns against current returns
Autocorrelation, which is Beco Steel 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 Beco Steel's stock expected returns. We can calculate the autocorrelation of Beco Steel returns to help us make a trade decision. For example, suppose you find that Beco Steel 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 |
Beco Steel 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 Beco Steel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Beco Steel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Beco Steel stock over time.
Current vs Lagged Prices |
| Timeline |
Beco Steel Lagged Returns
When evaluating Beco Steel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Beco Steel stock have on its future price. Beco Steel 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, Beco Steel autocorrelation shows the relationship between Beco Steel stock current value and its past values and can show if there is a momentum factor associated with investing in Beco Steel.
Regressed Prices |
| Timeline |
Pair Trading with Beco Steel
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 Beco Steel 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 Beco Steel will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Beco Steel could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Beco Steel 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 Beco Steel - 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 Beco Steel to buy it.
The correlation of Beco Steel 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 Beco Steel moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Beco Steel 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 Beco Steel 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.