Brunswick Backtested Returns
Macroaxis considers Brunswick to be not too risky. Brunswick
secures Sharpe Ratio (or Efficiency) of -0.0508 which signifies that Brunswick
had -0.0508% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. Brunswick Corporation exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Brunswick Risk Adjusted Performance
of 0.042955 and Mean Deviation of 1.45 to double-check risk estimate we provide. Macroaxis gives Brunswick performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.4336 which signifies that as returns on market increase, Brunswick returns are expected to increase less than the market. However during bear market, the loss on holding Brunswick will be expected to be smaller as well.. Even though it is essential to pay attention to Brunswick historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Brunswick Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Brunswick has expected return of -0.1055%. Please be advised to confirm Brunswick Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Brunswick past performance will be repeated at some point in the near future.
|15 days auto-correlation|| 0.32 |
Below average predictability
Brunswick Corporation has below average predictability. Overlapping area represents the amount of predictability between Brunswick time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 23, 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 0.32 indicates that nearly 32.0% of current Brunswick price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.32|
|Spearman Rank Test|| -0.89|
|Price Variance|| 0.75|
|Lagged Price Variance|| 2.32|
Brunswick Lagged Returns