BVZ Holding (Switzerland) Market Value
| BVZN Stock | CHF 1,020 30.00 2.86% |
| Symbol | BVZ |
BVZ 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 BVZ 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 BVZ Holding.
| 03/29/2024 |
| 04/28/2024 |
If you would invest 0.00 in BVZ Holding on March 29, 2024 and sell it all today you would earn a total of 0.00 from holding BVZ Holding AG or generate 0.0% return on investment in BVZ Holding over 30 days. BVZ Holding is related to or competes with Logitech International, Swiss Life, Swiss Re, Geberit AG, and ABB. BVZ Holding AG, through its subsidiaries, provides public transport and tourist services in Switzerland More
BVZ 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 BVZ 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 BVZ Holding AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.91 | |||
| Information Ratio | 0.0289 | |||
| Maximum Drawdown | 7.63 | |||
| Value At Risk | (2.86) | |||
| Potential Upside | 2.58 |
BVZ Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BVZ Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BVZ Holding's standard deviation. In reality, there are many statistical measures that can use BVZ Holding historical prices to predict the future BVZ Holding's volatility.| Risk Adjusted Performance | 0.0574 | |||
| Jensen Alpha | 0.1664 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | 0.0254 | |||
| Treynor Ratio | (0.26) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BVZ 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.
BVZ Holding AG Backtested Returns
We consider BVZ Holding very steady. BVZ Holding AG secures Sharpe Ratio (or Efficiency) of 0.1, which signifies that the company had a 0.1% return per unit of volatility over the last 3 months. We have found thirty technical indicators for BVZ Holding AG, which you can use to evaluate the volatility of the firm. Please confirm BVZ Holding's mean deviation of 1.3, and Risk Adjusted Performance of 0.0574 to double-check if the risk estimate we provide is consistent with the expected return of 0.17%. BVZ Holding has a performance score of 7 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.49, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning BVZ Holding are expected to decrease at a much lower rate. During the bear market, BVZ Holding is likely to outperform the market. BVZ Holding AG presently shows a risk of 1.7%. Please confirm BVZ Holding AG value at risk, downside variance, and the relationship between the maximum drawdown and potential upside , to decide if BVZ Holding AG will be following its price patterns.
Auto-correlation | -0.27 |
Weak reverse predictability
BVZ Holding AG has weak reverse predictability. Overlapping area represents the amount of predictability between BVZ Holding time series from 29th of March 2024 to 13th of April 2024 and 13th of April 2024 to 28th of April 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 BVZ Holding AG price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current BVZ Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 393.24 |
BVZ Holding AG lagged returns against current returns
Autocorrelation, which is BVZ 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 BVZ Holding's stock expected returns. We can calculate the autocorrelation of BVZ Holding returns to help us make a trade decision. For example, suppose you find that BVZ 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 |
BVZ 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 BVZ Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BVZ Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BVZ Holding stock over time.
Current vs Lagged Prices |
| Timeline |
BVZ Holding Lagged Returns
When evaluating BVZ Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BVZ Holding stock have on its future price. BVZ 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, BVZ Holding autocorrelation shows the relationship between BVZ Holding stock current value and its past values and can show if there is a momentum factor associated with investing in BVZ Holding AG.
Regressed Prices |
| Timeline |
Pair Trading with BVZ 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 BVZ 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 BVZ Holding will appreciate offsetting losses from the drop in the long position's value.Moving together with BVZ Stock
| 0.91 | JFN | Jungfraubahn Holding | PairCorr |
The ability to find closely correlated positions to BVZ 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 BVZ 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 BVZ 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 BVZ Holding AG to buy it.
The correlation of BVZ 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 BVZ Holding moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BVZ 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 BVZ 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 BVZ Holding Correlation, BVZ Holding Volatility and BVZ Holding Alpha and Beta module to complement your research on BVZ Holding. You can also try the Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
Complementary Tools for BVZ Stock analysis
When running BVZ Holding's price analysis, check to measure BVZ 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 BVZ Holding is operating at the current time. Most of BVZ Holding's value examination focuses on studying past and present price action to predict the probability of BVZ 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 BVZ Holding's price. Additionally, you may evaluate how the addition of BVZ Holding to your portfolios can decrease your overall portfolio volatility.
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BVZ 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.