Borusan Mannesmann (Turkey) Market Value
| BRSAN Stock | TRY 435.25 2.50 0.57% |
| Symbol | Borusan |
Borusan Mannesmann '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 Borusan Mannesmann'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 Borusan Mannesmann.
| 01/03/2023 |
| 12/23/2024 |
If you would invest 0.00 in Borusan Mannesmann on January 3, 2023 and sell it all today you would earn a total of 0.00 from holding Borusan Mannesmann Boru or generate 0.0% return on investment in Borusan Mannesmann over 720 days. Borusan Mannesmann is related to or competes with Cimsa Cimento, Aksa Akrilik, EIS Eczacibasi, Kordsa Global, and Otokar Otomotiv. Borusan Mannesmann Boru Sanayi ve Ticaret A.S More
Borusan Mannesmann 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 Borusan Mannesmann'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 Borusan Mannesmann Boru upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 15.73 | |||
| Value At Risk | (4.07) | |||
| Potential Upside | 3.52 |
Borusan Mannesmann Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Borusan Mannesmann's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Borusan Mannesmann's standard deviation. In reality, there are many statistical measures that can use Borusan Mannesmann historical prices to predict the future Borusan Mannesmann's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | (0.29) | |||
| Treynor Ratio | (1.11) |
Borusan Mannesmann Boru Backtested Returns
Borusan Mannesmann Boru secures Sharpe Ratio (or Efficiency) of -0.0454, which signifies that the company had a -0.0454% return per unit of risk over the last 3 months. Borusan Mannesmann Boru exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Borusan Mannesmann's Standard Deviation of 2.59, mean deviation of 1.88, and Risk Adjusted Performance of (0.06) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.2, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Borusan Mannesmann's returns are expected to increase less than the market. However, during the bear market, the loss of holding Borusan Mannesmann is expected to be smaller as well. At this point, Borusan Mannesmann Boru has a negative expected return of -0.12%. Please make sure to confirm Borusan Mannesmann's potential upside, as well as the relationship between the daily balance of power and market facilitation index , to decide if Borusan Mannesmann Boru performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.65 |
Very good reverse predictability
Borusan Mannesmann Boru has very good reverse predictability. Overlapping area represents the amount of predictability between Borusan Mannesmann time series from 3rd of January 2023 to 29th of December 2023 and 29th of December 2023 to 23rd 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 Borusan Mannesmann Boru price movement. The serial correlation of -0.65 indicates that roughly 65.0% of current Borusan Mannesmann price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.65 | |
| Spearman Rank Test | -0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 8806.45 |
Borusan Mannesmann Boru lagged returns against current returns
Autocorrelation, which is Borusan Mannesmann 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 Borusan Mannesmann's stock expected returns. We can calculate the autocorrelation of Borusan Mannesmann returns to help us make a trade decision. For example, suppose you find that Borusan Mannesmann 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 |
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Borusan Mannesmann 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 Borusan Mannesmann stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Borusan Mannesmann stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Borusan Mannesmann stock over time.
Current vs Lagged Prices |
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Borusan Mannesmann Lagged Returns
When evaluating Borusan Mannesmann's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Borusan Mannesmann stock have on its future price. Borusan Mannesmann 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, Borusan Mannesmann autocorrelation shows the relationship between Borusan Mannesmann stock current value and its past values and can show if there is a momentum factor associated with investing in Borusan Mannesmann Boru.
Regressed Prices |
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Thematic Opportunities
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Other Information on Investing in Borusan Stock
Borusan Mannesmann financial ratios help investors to determine whether Borusan 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 Borusan with respect to the benefits of owning Borusan Mannesmann security.