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 TrendCheck current 30 days Brunswick correlation with market (DOW)|
β = -0.0382
Projected Return Density Against MarketAllowing 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).
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