Bluescope Steel Ltd Stock Market Value
| BLSFY Stock | USD 75.90 0.93 1.24% |
| Symbol | BlueScope |
BlueScope 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 BlueScope Steel's pink sheet 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 BlueScope Steel.
| 06/04/2022 |
| 04/24/2024 |
If you would invest 0.00 in BlueScope Steel on June 4, 2022 and sell it all today you would earn a total of 0.00 from holding BlueScope Steel Ltd or generate 0.0% return on investment in BlueScope Steel over 690 days. BlueScope Steel is related to or competes with Aperam PK, Acerinox, Algoma Steel, Synalloy, Algoma Steel, ArcelorMittal, and Kumba Iron. BlueScope Steel Limited produces and sells metal coated and painted steel building products in Australia, New Zealand, A... More
BlueScope 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 BlueScope Steel's pink sheet 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 BlueScope Steel Ltd upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.39 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 10.84 | |||
| Value At Risk | (3.01) | |||
| Potential Upside | 3.41 |
BlueScope Steel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BlueScope Steel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BlueScope Steel's standard deviation. In reality, there are many statistical measures that can use BlueScope Steel historical prices to predict the future BlueScope Steel's volatility.| Risk Adjusted Performance | 0.013 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.27) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0597 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BlueScope Steel'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.
BlueScope Steel Backtested Returns
We consider BlueScope Steel very steady. BlueScope Steel secures Sharpe Ratio (or Efficiency) of 0.0098, which signifies that the company had a 0.0098% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for BlueScope Steel Ltd, which you can use to evaluate the volatility of the firm. Please confirm BlueScope Steel's Downside Deviation of 2.39, mean deviation of 1.27, and Risk Adjusted Performance of 0.013 to double-check if the risk estimate we provide is consistent with the expected return of 0.0199%. The firm shows a Beta (market volatility) of 0.17, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BlueScope Steel's returns are expected to increase less than the market. However, during the bear market, the loss of holding BlueScope Steel is expected to be smaller as well. BlueScope Steel right now shows a risk of 2.03%. Please confirm BlueScope Steel potential upside, as well as the relationship between the daily balance of power and relative strength index , to decide if BlueScope Steel will be following its price patterns.
Auto-correlation | 0.74 |
Good predictability
BlueScope Steel Ltd has good predictability. Overlapping area represents the amount of predictability between BlueScope Steel time series from 4th of June 2022 to 15th of May 2023 and 15th of May 2023 to 24th 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 BlueScope Steel price movement. The serial correlation of 0.74 indicates that around 74.0% of current BlueScope Steel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 35.8 |
BlueScope Steel lagged returns against current returns
Autocorrelation, which is BlueScope Steel pink sheet'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 BlueScope Steel's pink sheet expected returns. We can calculate the autocorrelation of BlueScope Steel returns to help us make a trade decision. For example, suppose you find that BlueScope Steel has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
BlueScope 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 BlueScope Steel pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BlueScope Steel pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BlueScope Steel pink sheet over time.
Current vs Lagged Prices |
| Timeline |
BlueScope Steel Lagged Returns
When evaluating BlueScope Steel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BlueScope Steel pink sheet have on its future price. BlueScope 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, BlueScope Steel autocorrelation shows the relationship between BlueScope Steel pink sheet current value and its past values and can show if there is a momentum factor associated with investing in BlueScope Steel Ltd.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards BlueScope Steel in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, BlueScope Steel's short interest history, or implied volatility extrapolated from BlueScope Steel options trading.
Pair Trading with BlueScope 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 BlueScope 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 BlueScope Steel will appreciate offsetting losses from the drop in the long position's value.Moving together with BlueScope Pink Sheet
| 0.62 | GGBR4 | Gerdau SA Split | PairCorr |
Moving against BlueScope Pink Sheet
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The ability to find closely correlated positions to BlueScope 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 BlueScope 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 BlueScope 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 BlueScope Steel Ltd to buy it.
The correlation of BlueScope 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 BlueScope Steel moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BlueScope 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 BlueScope 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.Check out BlueScope Steel Correlation, BlueScope Steel Volatility and BlueScope Steel Alpha and Beta module to complement your research on BlueScope Steel. Note that the BlueScope Steel information on this page should be used as a complementary analysis to other BlueScope Steel's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
Complementary Tools for BlueScope Pink Sheet analysis
When running BlueScope Steel's price analysis, check to measure BlueScope Steel'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 BlueScope Steel is operating at the current time. Most of BlueScope Steel's value examination focuses on studying past and present price action to predict the probability of BlueScope Steel's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move BlueScope Steel's price. Additionally, you may evaluate how the addition of BlueScope Steel to your portfolios can decrease your overall portfolio volatility.
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BlueScope Steel technical pink sheet 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, pink sheet market cycles, or different charting patterns.