Macroaxis considers Brunswick not too risky given 1 month investment horizon. Brunswick secures Sharpe Ratio (or Efficiency) of 0.1624 which signifies that Brunswick had 0.1624% 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 1.05, Risk Adjusted Performance of 0.1727 and Mean Deviation of 1.11 to double-check if our risk estimates are consistent with your expectations.
|Time Horizon||30 Days Login to change|
Brunswick Market Sensitivity
|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.One Month Beta |Analyze Brunswick Demand TrendCheck current 30 days Brunswick correlation with market (DOW)|
β = 0.143
Brunswick Technical Analysis
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Brunswick has beta of 0.143 . This suggests as returns on market go up, Brunswick average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Brunswick Corporation will be expected to be much smaller as well. Moreover, Brunswick Corporation has an alpha of 0.2838 implying that it can potentially generate 0.2838% excess return over DOW after adjusting for the inherited market risk (beta).
Allowing for the 30-days total investment horizon, the coefficient of variation of Brunswick is 615.91. The daily returns are destributed with a variance of 3.05 and standard deviation of 1.75. The mean deviation of Brunswick Corporation is currently at 1.11. For similar time horizon, the selected benchmark (DOW) has volatility of 1.04