Brunswick Risk Analysis

Brunswick Corporation -- USA Stock  

USD 54.94  0.65  1.17%

Macroaxis considers Brunswick not too risky given 1 month investment horizon. Brunswick secures Sharpe Ratio (or Efficiency) of 0.3705 which signifies that Brunswick had 0.3705% 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 0.9509, Risk Adjusted Performance of 0.2022 and Mean Deviation of 1.01 to double-check if our risk estimates are consistent with your expectations.
Investment 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 Trend
Check current 30 days Brunswick correlation with market (DOW)
β = 0.4246
Brunswick Small 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, Brunswick has beta of 0.4246 . 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 0.4103 implying that it can potentially generate 0.4103% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Brunswick is 269.89. The daily returns are destributed with a variance of 1.69 and standard deviation of 1.3. The mean deviation of Brunswick Corporation is currently at 1.03. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5
α
Alpha over DOW
=0.41
βBeta against DOW=0.42
σ
Overall volatility
=1.3
 IrInformation ratio =0.23

Actual Return Volatility

Brunswick Corporation accepts 1.2987% volatility on return distribution over the 30 days horizon. DOW inherits 0.4723% 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

Slowly supersedes 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 1.3 and is 2.77 times more volatile than DOW. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use Brunswick Corporation to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Brunswick to be traded at $53.29 in 30 days. 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.

Brunswick correlation with market

Average 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.