Brixmor Property Backtesting

BRX -- USA Stock  

Fiscal Quarter End: December 31, 2019  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Brixmor Property Group and determine expected loss or profit from investing in Brixmor Property over given investment horizon. Check also Brixmor Property Hype Analysis, Brixmor Property Correlation, Brixmor Property Valuation, Brixmor Property Volatility as well as analyze Brixmor Property Alpha and Beta and Brixmor Property Performance.
Horizon     30 Days    Login   to change

Brixmor Property 'What if' Analysis

August 16, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 14, 2019
If you would invest  0.00  in Brixmor Property on August 16, 2019 and sell it all today you would earn a total of 0.00 from holding Brixmor Property Group or generate 0.0% return on investment in Brixmor Property over 90 days. Brixmor Property is related to or competes with Realty Income, Agree Realty, Acadia Realty, Alexanders, Saul Centers, Brookfield Property, and Brixmor Property. Brixmor is a real estate investment trust that owns and operates a high-quality, national portfolio of open-air shopping...

Brixmor Property Upside/Downside Indicators

Downside Deviation1.14
Information Ratio0.1625
Maximum Drawdown6.84
Value At Risk(1.61)
Potential Upside1.76

Brixmor Property Market Premium Indicators

Risk Adjusted Performance0.2145
Jensen Alpha0.2548
Total Risk Alpha0.1166
Sortino Ratio0.151
Treynor Ratio0.8982

Brixmor Property Backtested Returns

Macroaxis considers Brixmor Property not too volatile given 3 months investment horizon. Brixmor Property secures Sharpe Ratio (or Efficiency) of 0.2803 which signifies that the organization had 0.2803% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Brixmor Property Group which you can use to evaluate future volatility of the firm. Please makes use of Brixmor Property Mean Deviation of 0.7172, Downside Deviation of 1.14 and Risk Adjusted Performance of 0.2145 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Brixmor Property holds performance score of 18. The firm shows Beta (market volatility) of 0.329 which signifies that as returns on market increase, Brixmor Property returns are expected to increase less than the market. However during bear market, the loss on holding Brixmor Property will be expected to be smaller as well. Although it is vital to follow to Brixmor Property historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Brixmor Property technical indicators you can presently evaluate if the expected return of 0.3006% will be sustainable into the future. Please makes use of Brixmor Property Semi Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Semi Variance to make a quick decision on weather Brixmor Property price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.85 
correlation synergy

Very good predictability

Brixmor Property Group has very good predictability. Overlapping area represents the amount of predictability between Brixmor Property time series from August 16, 2019 to September 30, 2019 and September 30, 2019 to November 14, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Brixmor Property price movement. The serial correlation of 0.85 indicates that around 85.0% of current Brixmor Property price fluctuation can be explain by its past prices.
Correlation Coefficient0.85
Spearman Rank Test0.86
Residual Average0.0
Price Variance0.52

Brixmor Property lagged returns against current returns

 Current and Lagged Values 

Brixmor Property regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Brixmor Property Lagged Returns

 Regressed Prices 

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Positions Ratings

Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance
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Brixmor Property Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Brixmor Property and Realty Income. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Brixmor Property Hype Analysis, Brixmor Property Correlation, Brixmor Property Valuation, Brixmor Property Volatility as well as analyze Brixmor Property Alpha and Beta and Brixmor Property Performance. Please also try Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.