Brunswick Risk Analysis

Brunswick Corporation -- USA Stock  

USD 59.6  0.48  0.81%

Macroaxis considers Brunswick not too risky given 1 month investment horizon. Brunswick secures Sharpe Ratio (or Efficiency) of 0.5122 which signifies that Brunswick had 0.5122% 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-eight technical indicators for Brunswick Corporation which you can use to evaluate future volatility of the firm. Please makes use of Brunswick Risk Adjusted Performance of 0.1277 and Mean Deviation of 0.6623 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, returns on owning Brunswick are expected to decrease at a much smaller rate. During bear market, Brunswick is likely to outperform the market.
One Month Beta |Analyze Brunswick Demand Trend
Check current 30 days Brunswick correlation with market (DOW)
β = -0.0382
Brunswick Almost negative betaBrunswick Beta Legend

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Brunswick Corporation has beta of -0.0382 . This suggests as returns on benchmark increase, returns on holding Brunswick are expected to decrease at a much smaller rate. During bear market, however, Brunswick Corporation is likely to outperform the market. Moreover, Brunswick Corporation has an alpha of 0.4378 implying that it can potentially generate 0.4378% 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 195.25. The daily returns are destributed with a variance of 0.68 and standard deviation of 0.83. The mean deviation of Brunswick Corporation is currently at 0.65. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.44 
βBeta against DOW=(0.0382) 
σ
Overall volatility
= 0.83 
 IrInformation ratio = 0.37 

Actual Return Volatility

Brunswick Corporation accepts 0.8275% volatility on return distribution over the 30 days horizon. DOW inherits 0.2355% 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

Indifferent to market move

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 0.83 and is 3.46 times more volatile than DOW. 7% 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 7 (%) 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 $65.56 in 30 days. As returns on market increase, returns on owning Brunswick are expected to decrease at a much smaller rate. During bear market, Brunswick is likely to outperform the market.

Brunswick correlation with market

Good 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.

Volatility Indicators

Brunswick Current Risk Indicators