Brunswick Risk Analysis

Brunswick Corporation -- USA Stock  

USD 57.63  0.56  0.98%

Macroaxis considers Brunswick not too risky given 1 month investment horizon. Brunswick secures Sharpe Ratio (or Efficiency) of 0.2189 which signifies that Brunswick had 0.2189% 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 0.905, Risk Adjusted Performance of 0.0853 and Mean Deviation of 0.8504 to double-check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Brunswick Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Brunswick will likely underperform.
One Month Beta |Analyze Brunswick Demand Trend
Check current 30 days Brunswick correlation with market (DOW)
β = 1.6354
Brunswick Large BetaBrunswick Beta Legend

Brunswick Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Brunswick Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, the stock has beta coefficient of 1.6354 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Brunswick will likely underperform. Additionally, Brunswick Corporation has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Brunswick is 456.81. The daily returns are destributed with a variance of 1.23 and standard deviation of 1.11. The mean deviation of Brunswick Corporation is currently at 0.87. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.16
β
Beta against DOW=1.64
σ
Overall volatility
=1.11
Ir
Information ratio =0.01

Actual Return Volatility

Brunswick Corporation accepts 1.107% volatility on return distribution over the 30 days horizon. DOW inherits 0.3852% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Brunswick Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Very susceptible to market

Total Debt

Brunswick Total Debt History

Total Debt

Largest Trends

Brunswick Largest Period Trend

Investment Outlook

Brunswick Investment Opportunity
Brunswick Corporation has a volatility of 1.11 and is 2.85 times more volatile than DOW. 10% of all equities and portfolios are less risky than Brunswick. Compared to the overall equity markets, volatility of historical daily returns of Brunswick Corporation is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Brunswick Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Brunswick to be traded at $63.39 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Brunswick will likely underperform.

Brunswick correlation with market

Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Brunswick Corp. and equity matching DJI index in the same portfolio.