Bachem Holding (Switzerland) Market Value
| BANB Stock | CHF 80.35 1.30 1.64% |
| Symbol | Bachem |
Bachem Holding '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 Bachem Holding'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 Bachem Holding.
| 05/15/2022 |
| 05/04/2024 |
If you would invest 0.00 in Bachem Holding on May 15, 2022 and sell it all today you would earn a total of 0.00 from holding Bachem Holding AG or generate 0.0% return on investment in Bachem Holding over 720 days. Bachem Holding is related to or competes with Helvetia Holding, Cembra Money, Swisscom, Swiss Life, and Baloise Holding. Bachem Holding AG, a technology-based biochemicals company, provides services to the pharmaceutical and biotechnology in... More
Bachem Holding 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 Bachem Holding'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 Bachem Holding AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.5 | |||
| Information Ratio | 0.1964 | |||
| Maximum Drawdown | 19.38 | |||
| Value At Risk | (2.18) | |||
| Potential Upside | 3.17 |
Bachem Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bachem Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bachem Holding's standard deviation. In reality, there are many statistical measures that can use Bachem Holding historical prices to predict the future Bachem Holding's volatility.| Risk Adjusted Performance | 0.1486 | |||
| Jensen Alpha | 0.5283 | |||
| Total Risk Alpha | 0.3446 | |||
| Sortino Ratio | 0.3106 | |||
| Treynor Ratio | (1.35) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Bachem Holding'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.
Bachem Holding AG Backtested Returns
Bachem Holding appears to be very steady, given 3 months investment horizon. Bachem Holding AG secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that the company had a 0.23% return per unit of standard deviation over the last 3 months. By analyzing Bachem Holding's technical indicators, you can evaluate if the expected return of 0.55% is justified by implied risk. Please makes use of Bachem Holding's mean deviation of 1.32, and Risk Adjusted Performance of 0.1486 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bachem Holding holds a performance score of 17. The firm shows a Beta (market volatility) of -0.38, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Bachem Holding are expected to decrease at a much lower rate. During the bear market, Bachem Holding is likely to outperform the market. Please check Bachem Holding'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 Bachem Holding's price patterns will revert.
Auto-correlation | -0.18 |
Insignificant reverse predictability
Bachem Holding AG has insignificant reverse predictability. Overlapping area represents the amount of predictability between Bachem Holding time series from 15th of May 2022 to 10th of May 2023 and 10th of May 2023 to 4th of May 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 Bachem Holding AG price movement. The serial correlation of -0.18 indicates that over 18.0% of current Bachem Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.18 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 98.15 |
Bachem Holding AG lagged returns against current returns
Autocorrelation, which is Bachem Holding 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 Bachem Holding's stock expected returns. We can calculate the autocorrelation of Bachem Holding returns to help us make a trade decision. For example, suppose you find that Bachem Holding 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 |
Bachem Holding 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 Bachem Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bachem Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bachem Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Bachem Holding Lagged Returns
When evaluating Bachem Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bachem Holding stock have on its future price. Bachem Holding 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, Bachem Holding autocorrelation shows the relationship between Bachem Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Bachem Holding AG.
Regressed Prices |
| Timeline |
Pair Trading with Bachem Holding
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 Bachem Holding 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 Bachem Holding will appreciate offsetting losses from the drop in the long position's value.Moving against Bachem Stock
| 0.6 | NESN | Nestl SA | PairCorr |
The ability to find closely correlated positions to Bachem Holding could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bachem Holding 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 Bachem Holding - 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 Bachem Holding AG to buy it.
The correlation of Bachem Holding 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 Bachem Holding moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bachem Holding AG 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 Bachem Holding 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 Bachem Holding Correlation, Bachem Holding Volatility and Bachem Holding Alpha and Beta module to complement your research on Bachem Holding. You can also try the Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
Complementary Tools for Bachem Stock analysis
When running Bachem Holding's price analysis, check to measure Bachem Holding'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 Bachem Holding is operating at the current time. Most of Bachem Holding's value examination focuses on studying past and present price action to predict the probability of Bachem Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Bachem Holding's price. Additionally, you may evaluate how the addition of Bachem Holding to your portfolios can decrease your overall portfolio volatility.
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Bachem Holding 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.