Brunswick Backtesting

BC -- USA Stock  

USD 65.61  0.03  0.0457%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Brunswick Corporation and determine expected loss or profit from investing in Brunswick over given investment horizon. Check also Brunswick Hype Analysis, Brunswick Correlation, Brunswick Valuation, Brunswick Volatility as well as analyze Brunswick Alpha and Beta and Brunswick Performance.
 Time Horizon     30 Days    Login   to change

Brunswick 'What if' Analysis

May 25, 2018
No Change 0.00  0.0%
In 30 days
June 24, 2018
If you would invest  0.00  in Brunswick on May 25, 2018 and sell it all today you would earn a total of 0.00 from holding Brunswick Corporation or generate 0.0% return on investment in Brunswick over 30 days. Brunswick is related to or competes with Foot Locker, Under Armour, Cabelas Incorporated, Dicks Sporting, NIKE, and WINNEBAGO IND. Brunswick Corporation designs, manufactures, and markets recreation products worldwide

Brunswick Upside/Downside Indicators

Downside Deviation1.08
Information Ratio0.1817
Maximum Drawdown4.77
Value At Risk1.49
Potential Upside2.35

Brunswick Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.2287

Brunswick Backtested Returns

Macroaxis considers Brunswick not too risky given 1 month investment horizon. Brunswick secures Sharpe Ratio (or Efficiency) of 0.1585 which signifies that Brunswick had 0.1585% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Brunswick Corporation which you can use to evaluate future volatility of the firm. Please makes use of Brunswick Downside Deviation of 1.08, Risk Adjusted Performance of 0.01 and Mean Deviation of 1.1 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Brunswick holds performance score of 10. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Brunswick are completely uncorrelated. Although it is extremely important to respect Brunswick historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Brunswick technical indicators you can presently evaluate if the expected return of 0.2256% will be sustainable into the future. Please makes use of Brunswick Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to make a quick decision on weather Brunswick price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.83) 

Excellent reverse predictability

Brunswick Corporation has excellent reverse predictability. Overlapping area represents the amount of predictability between Brunswick time series from May 25, 2018 to June 9, 2018 and June 9, 2018 to June 24, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Brunswick price movement. The serial correlation of -0.83 indicates that around 83.0% of current Brunswick price fluctuation can be explain by its past prices. Given that Brunswick Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Brunswick for similar time interval.
Correlation Coefficient -0.83
Spearman Rank Test -0.87
Price Variance 1.22
Lagged Price Variance 5.09

Brunswick lagged returns against current returns

 Current and Lagged Values 

Brunswick regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Brunswick Lagged Returns

 Regressed Prices 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Brunswick and Foot Locker. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Brunswick Hype Analysis, Brunswick Correlation, Brunswick Valuation, Brunswick Volatility as well as analyze Brunswick Alpha and Beta and Brunswick Performance. Please also try Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.