Brill Shoe (Israel) Market Value
| BRIL Stock | ILS 1,187 49.00 4.31% |
| Symbol | Brill |
Brill Shoe 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Brill Shoe's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Brill Shoe.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Brill Shoe on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Brill Shoe Industries or generate 0.0% return on investment in Brill Shoe over 30 days. Brill Shoe is related to or competes with Clal Insurance, Israel Discount, Bezeq Israeli, Alony Hetz, and Harel Insurance. Brill Shoe Industries Ltd. engages in the design, manufacture, import, purchase, and retail marketing of shoes, clothing... More
Brill Shoe Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Brill Shoe's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Brill Shoe Industries upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.4 | |||
| Information Ratio | 0.0013 | |||
| Maximum Drawdown | 32.08 | |||
| Value At Risk | (5.47) | |||
| Potential Upside | 9.12 |
Brill Shoe Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brill Shoe's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brill Shoe's standard deviation. In reality, there are many statistical measures that can use Brill Shoe historical prices to predict the future Brill Shoe's volatility.| Risk Adjusted Performance | 0.0221 | |||
| Jensen Alpha | 0.1518 | |||
| Total Risk Alpha | (0.55) | |||
| Sortino Ratio | 0.0014 | |||
| Treynor Ratio | (0.13) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brill Shoe's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Brill Shoe Industries Backtested Returns
Brill Shoe appears to be very steady, given 3 months investment horizon. Brill Shoe Industries secures Sharpe Ratio (or Efficiency) of 0.17, which signifies that the company had a 0.17% return per unit of risk over the last 3 months. By analyzing Brill Shoe's technical indicators, you can evaluate if the expected return of 0.85% is justified by implied risk. Please makes use of Brill Shoe's Mean Deviation of 3.28, risk adjusted performance of 0.0221, and Downside Deviation of 4.4 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Brill Shoe holds a performance score of 13. The firm shows a Beta (market volatility) of -0.71, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Brill Shoe are expected to decrease at a much lower rate. During the bear market, Brill Shoe is likely to outperform the market. Please check Brill Shoe's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to make a quick decision on whether Brill Shoe's price patterns will revert.
Auto-correlation | -0.73 |
Almost perfect reverse predictability
Brill Shoe Industries has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Brill Shoe time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Brill Shoe Industries price movement. The serial correlation of -0.73 indicates that around 73.0% of current Brill Shoe price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.73 | |
| Spearman Rank Test | -0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 6305.92 |
Brill Shoe Industries lagged returns against current returns
Autocorrelation, which is Brill Shoe stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Brill Shoe's stock expected returns. We can calculate the autocorrelation of Brill Shoe returns to help us make a trade decision. For example, suppose you find that Brill Shoe has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Brill Shoe regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Brill Shoe stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brill Shoe stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brill Shoe stock over time.
Current vs Lagged Prices |
| Timeline |
Brill Shoe Lagged Returns
When evaluating Brill Shoe's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brill Shoe stock have on its future price. Brill Shoe autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Brill Shoe autocorrelation shows the relationship between Brill Shoe stock current value and its past values and can show if there is a momentum factor associated with investing in Brill Shoe Industries.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Brill Shoe in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Brill Shoe's short interest history, or implied volatility extrapolated from Brill Shoe options trading.
Pair Trading with Brill Shoe
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Brill Shoe position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Brill Shoe will appreciate offsetting losses from the drop in the long position's value.Moving against Brill Stock
| 0.5 | ISRS | Isras Investment | PairCorr |
The ability to find closely correlated positions to Brill Shoe could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Brill Shoe when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Brill Shoe - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Brill Shoe Industries to buy it.
The correlation of Brill Shoe is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Brill Shoe moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Brill Shoe Industries moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Brill Shoe can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Brill Shoe Correlation, Brill Shoe Volatility and Brill Shoe Alpha and Beta module to complement your research on Brill Shoe. You can also try the Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
Complementary Tools for Brill Stock analysis
When running Brill Shoe's price analysis, check to measure Brill Shoe's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Brill Shoe is operating at the current time. Most of Brill Shoe's value examination focuses on studying past and present price action to predict the probability of Brill Shoe's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Brill Shoe's price. Additionally, you may evaluate how the addition of Brill Shoe to your portfolios can decrease your overall portfolio volatility.
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Brill Shoe technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.