Macroaxis considers Brill Shoe to be unknown risk. Brill Shoe Industries secures Sharpe Ratio (or Efficiency) of -0.3279 which signifies that Brill Shoe Industries had -0.3279% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Brill Shoe Industries Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Brill Shoe Industries Risk Adjusted Performance of
(0.12) and Mean Deviation of 1.24 to double-check risk estimate we provide.
|Horizon||30 Days Login to change|
Brill Shoe Market Sensitivity
|As returns on market increase, Brill Shoe returns are expected to increase less than the market. However during bear market, the loss on holding Brill Shoe will be expected to be smaller as well.2 Months Beta |Analyze Brill Shoe Industries Demand TrendCheck current 30 days Brill Shoe correlation with market (DOW)|
β = 0.0769
Brill Shoe Central Daily Price Deviation
Brill Shoe Industries Technical Analysis
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Brill Shoe Projected Return Density Against MarketAssuming 30 trading days horizon, Brill Shoe has beta of 0.0769 . This suggests as returns on market go up, Brill Shoe average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Brill Shoe Industries Ltd will be expected to be much smaller as well. Additionally, Brill Shoe Industries Ltd has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Brill Shoe is -304.96. The daily returns are destributed with a variance of 3.38 and standard deviation of 1.84. The mean deviation of Brill Shoe Industries Ltd is currently at 1.37. For similar time horizon, the selected benchmark (DOW) has volatility of 1.32
|Alpha over DOW||=||0.16|
|Beta against DOW||=||0.08|
Brill Shoe Return VolatilityBrill Shoe Industries Ltd accepts 1.8372% volatility on return distribution over the 30 days horizon. DOW inherits 1.3305% risk (volatility on return distribution) over the 30 days horizon.
Brill Shoe Industries Ltd has a volatility of 1.84 and is 1.38 times more volatile than DOW. 16% of all equities and portfolios are less risky than Brill Shoe. Compared to the overall equity markets, volatility of historical daily returns of Brill Shoe Industries Ltd is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Brill Shoe Industries Ltd to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Brill Shoe to be traded at S800.22 in 30 days. As returns on market increase, Brill Shoe returns are expected to increase less than the market. However during bear market, the loss on holding Brill Shoe will be expected to be smaller as well.
Brill Shoe correlation with market