Brooks Macdonald (UK) Market Value
| BRK Stock | 1,605 25.00 1.58% |
| Symbol | Brooks |
Brooks Macdonald '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 Brooks Macdonald'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 Brooks Macdonald.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in Brooks Macdonald on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding Brooks Macdonald Group or generate 0.0% return on investment in Brooks Macdonald over 30 days. Brooks Macdonald is related to or competes with Finnair Oyj, Cizzle Biotechnology, Playtech Plc, Alaska Air, Wizz Air, International Biotechnology, and Systemair. Brooks Macdonald is entity of United Kingdom More
Brooks Macdonald 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 Brooks Macdonald'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 Brooks Macdonald Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 20.23 | |||
| Value At Risk | (3.70) | |||
| Potential Upside | 3.45 |
Brooks Macdonald Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brooks Macdonald's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brooks Macdonald's standard deviation. In reality, there are many statistical measures that can use Brooks Macdonald historical prices to predict the future Brooks Macdonald's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.51) | |||
| Treynor Ratio | 0.4865 |
Brooks Macdonald Backtested Returns
Brooks Macdonald secures Sharpe Ratio (or Efficiency) of -0.0394, which signifies that the company had a -0.0394% return per unit of risk over the last 3 months. Brooks Macdonald Group exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Brooks Macdonald's Mean Deviation of 1.91, risk adjusted performance of (0.02), and Standard Deviation of 2.97 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.29, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Brooks Macdonald are expected to decrease at a much lower rate. During the bear market, Brooks Macdonald is likely to outperform the market. At this point, Brooks Macdonald has a negative expected return of -0.12%. Please make sure to confirm Brooks Macdonald's treynor ratio, skewness, rate of daily change, as well as the relationship between the value at risk and accumulation distribution , to decide if Brooks Macdonald performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.09 |
Very weak reverse predictability
Brooks Macdonald Group has very weak reverse predictability. Overlapping area represents the amount of predictability between Brooks Macdonald time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 Brooks Macdonald price movement. The serial correlation of -0.09 indicates that less than 9.0% of current Brooks Macdonald price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.09 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 623.14 |
Brooks Macdonald lagged returns against current returns
Autocorrelation, which is Brooks Macdonald 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 Brooks Macdonald's stock expected returns. We can calculate the autocorrelation of Brooks Macdonald returns to help us make a trade decision. For example, suppose you find that Brooks Macdonald 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 |
Brooks Macdonald 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 Brooks Macdonald stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brooks Macdonald stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brooks Macdonald stock over time.
Current vs Lagged Prices |
| Timeline |
Brooks Macdonald Lagged Returns
When evaluating Brooks Macdonald's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brooks Macdonald stock have on its future price. Brooks Macdonald 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, Brooks Macdonald autocorrelation shows the relationship between Brooks Macdonald stock current value and its past values and can show if there is a momentum factor associated with investing in Brooks Macdonald Group.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Brooks Stock
Brooks Macdonald financial ratios help investors to determine whether Brooks Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Brooks with respect to the benefits of owning Brooks Macdonald security.