Brunel International (UK) Market Value
| 0QUM Stock | 8.84 0.01 0.11% |
| Symbol | Brunel |
Brunel International '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 Brunel International'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 Brunel International.
| 01/09/2023 |
| 11/29/2024 |
If you would invest 0.00 in Brunel International on January 9, 2023 and sell it all today you would earn a total of 0.00 from holding Brunel International NV or generate 0.0% return on investment in Brunel International over 690 days. Brunel International is related to or competes with Compal Electronics, Scandinavian Tobacco, United Airlines, Cornish Metals, Synthomer Plc, Anglesey Mining, and Ecclesiastical Insurance. Brunel International is entity of United Kingdom More
Brunel International 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 Brunel International'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 Brunel International NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 5.83 | |||
| Value At Risk | (2.13) | |||
| Potential Upside | 2.06 |
Brunel International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brunel International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brunel International's standard deviation. In reality, there are many statistical measures that can use Brunel International historical prices to predict the future Brunel International's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.15) | |||
| Total Risk Alpha | (0.35) | |||
| Treynor Ratio | 18.36 |
Brunel International Backtested Returns
Brunel International secures Sharpe Ratio (or Efficiency) of -0.083, which signifies that the company had a -0.083% return per unit of risk over the last 3 months. Brunel International NV exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Brunel International's Standard Deviation of 1.33, mean deviation of 0.9873, and Risk Adjusted Performance of (0.08) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0081, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Brunel International are expected to decrease at a much lower rate. During the bear market, Brunel International is likely to outperform the market. At this point, Brunel International has a negative expected return of -0.11%. Please make sure to confirm Brunel International's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Brunel International performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.24 |
Weak reverse predictability
Brunel International NV has weak reverse predictability. Overlapping area represents the amount of predictability between Brunel International time series from 9th of January 2023 to 20th of December 2023 and 20th of December 2023 to 29th of November 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 Brunel International price movement. The serial correlation of -0.24 indicates that over 24.0% of current Brunel International price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.24 | |
| Spearman Rank Test | -0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.56 |
Brunel International lagged returns against current returns
Autocorrelation, which is Brunel International 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 Brunel International's stock expected returns. We can calculate the autocorrelation of Brunel International returns to help us make a trade decision. For example, suppose you find that Brunel International 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 |
Brunel International 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 Brunel International stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brunel International stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brunel International stock over time.
Current vs Lagged Prices |
| Timeline |
Brunel International Lagged Returns
When evaluating Brunel International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brunel International stock have on its future price. Brunel International 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, Brunel International autocorrelation shows the relationship between Brunel International stock current value and its past values and can show if there is a momentum factor associated with investing in Brunel International NV.
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 Brunel Stock Analysis
When running Brunel International's price analysis, check to measure Brunel International'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 Brunel International is operating at the current time. Most of Brunel International's value examination focuses on studying past and present price action to predict the probability of Brunel International's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Brunel International's price. Additionally, you may evaluate how the addition of Brunel International to your portfolios can decrease your overall portfolio volatility.