Beacon Roofing Supply Market Value
| 073685AF6 | 96.91 0.00 0.00% |
| Symbol | Beacon |
Beacon '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 Beacon's bond 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 Beacon.
| 06/14/2024 |
| 12/11/2024 |
If you would invest 0.00 in Beacon on June 14, 2024 and sell it all today you would earn a total of 0.00 from holding Beacon Roofing Supply or generate 0.0% return on investment in Beacon over 180 days. Beacon is related to or competes with Dennys Corp, Wendys, Sellas Life, Meli Hotels, Shake Shack, Dave Busters, and BioNTech. More
Beacon 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 Beacon's bond 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 Beacon Roofing Supply upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 7.85 | |||
| Value At Risk | (0.59) | |||
| Potential Upside | 0.8396 |
Beacon Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Beacon's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Beacon's standard deviation. In reality, there are many statistical measures that can use Beacon historical prices to predict the future Beacon's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.18) | |||
| Treynor Ratio | (0.19) |
Beacon Roofing Supply Backtested Returns
Beacon Roofing Supply secures Sharpe Ratio (or Efficiency) of -0.0756, which signifies that the bond had a -0.0756% return per unit of standard deviation over the last 3 months. Beacon Roofing Supply exposes eighteen different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Beacon's mean deviation of 0.4015, and Risk Adjusted Performance of (0) to double-check the risk estimate we provide. The bond shows a Beta (market volatility) of 0.0901, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Beacon's returns are expected to increase less than the market. However, during the bear market, the loss of holding Beacon is expected to be smaller as well.
Auto-correlation | 0.06 |
Virtually no predictability
Beacon Roofing Supply has virtually no predictability. Overlapping area represents the amount of predictability between Beacon time series from 14th of June 2024 to 12th of September 2024 and 12th of September 2024 to 11th 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 Beacon Roofing Supply price movement. The serial correlation of 0.06 indicates that barely 6.0% of current Beacon price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.06 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
Beacon Roofing Supply lagged returns against current returns
Autocorrelation, which is Beacon bond'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 Beacon's bond expected returns. We can calculate the autocorrelation of Beacon returns to help us make a trade decision. For example, suppose you find that Beacon has exhibited high autocorrelation historically, and you observe that the bond 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 |
Beacon 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 Beacon bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Beacon bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Beacon bond over time.
Current vs Lagged Prices |
| Timeline |
Beacon Lagged Returns
When evaluating Beacon's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Beacon bond have on its future price. Beacon 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, Beacon autocorrelation shows the relationship between Beacon bond current value and its past values and can show if there is a momentum factor associated with investing in Beacon Roofing Supply.
Regressed Prices |
| Timeline |
Also Currently Popular
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 Beacon Bond
Beacon financial ratios help investors to determine whether Beacon Bond 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 Beacon with respect to the benefits of owning Beacon security.