BRF SA (Brazil) Market Value
| BRFS3 Stock | BRL 27.75 0.94 3.28% |
| Symbol | BRF |
BRF SA '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 BRF SA'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 BRF SA.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in BRF SA on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding BRF SA or generate 0.0% return on investment in BRF SA over 30 days. BRF SA is related to or competes with Grendene, Fleury SA, Engie Brasil, Odontoprev, and Porto Seguro. BRF S.A. focuses on raising, producing, and slaughtering poultry and pork for processing, production, and sale of fresh ... More
BRF SA 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 BRF SA'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 BRF SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.39 | |||
| Information Ratio | 0.0357 | |||
| Maximum Drawdown | 10.36 | |||
| Value At Risk | (3.85) | |||
| Potential Upside | 4.17 |
BRF SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BRF SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BRF SA's standard deviation. In reality, there are many statistical measures that can use BRF SA historical prices to predict the future BRF SA's volatility.| Risk Adjusted Performance | 0.0713 | |||
| Jensen Alpha | 0.2048 | |||
| Total Risk Alpha | (0.17) | |||
| Sortino Ratio | 0.0348 | |||
| Treynor Ratio | (3.16) |
BRF SA Backtested Returns
BRF SA appears to be not too volatile, given 3 months investment horizon. BRF SA secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for BRF SA, which you can use to evaluate the volatility of the firm. Please makes use of BRF SA's Mean Deviation of 1.78, downside deviation of 2.39, and Risk Adjusted Performance of 0.0713 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, BRF SA holds a performance score of 9. The firm shows a Beta (market volatility) of -0.0625, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning BRF SA are expected to decrease at a much lower rate. During the bear market, BRF SA is likely to outperform the market. Please check BRF SA's coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to make a quick decision on whether BRF SA's price patterns will revert.
Auto-correlation | 0.56 |
Modest predictability
BRF SA has modest predictability. Overlapping area represents the amount of predictability between BRF SA time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th of December 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 BRF SA price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current BRF SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 2.96 |
BRF SA lagged returns against current returns
Autocorrelation, which is BRF SA 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 BRF SA's stock expected returns. We can calculate the autocorrelation of BRF SA returns to help us make a trade decision. For example, suppose you find that BRF SA 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 |
BRF SA 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 BRF SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BRF SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BRF SA stock over time.
Current vs Lagged Prices |
| Timeline |
BRF SA Lagged Returns
When evaluating BRF SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BRF SA stock have on its future price. BRF SA 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, BRF SA autocorrelation shows the relationship between BRF SA stock current value and its past values and can show if there is a momentum factor associated with investing in BRF SA.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for BRF Stock Analysis
When running BRF SA's price analysis, check to measure BRF SA'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 BRF SA is operating at the current time. Most of BRF SA's value examination focuses on studying past and present price action to predict the probability of BRF SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move BRF SA's price. Additionally, you may evaluate how the addition of BRF SA to your portfolios can decrease your overall portfolio volatility.