Brother Industries (Germany) Market Value
| BI5 Stock | EUR 16.40 0.10 0.61% |
| Symbol | Brother |
Brother Industries '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 Brother Industries' 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 Brother Industries.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Brother Industries on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Brother Industries or generate 0.0% return on investment in Brother Industries over 720 days. Brother Industries is related to or competes with SHIP HEALTHCARE, National Health, Diamondrock Hospitality, Sekisui Chemical, X-FAB Silicon, Silicon Motion, and Darden Restaurants. Brother Industries, Ltd. manufactures and sells communications and printing equipment in Japan, the Americas, Europe, th... More
Brother Industries 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 Brother Industries' 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 Brother Industries upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.91 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 17.37 | |||
| Value At Risk | (2.40) | |||
| Potential Upside | 2.34 |
Brother Industries Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brother Industries' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brother Industries' standard deviation. In reality, there are many statistical measures that can use Brother Industries historical prices to predict the future Brother Industries' volatility.| Risk Adjusted Performance | 0.0106 | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.34) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.003 |
Brother Industries Backtested Returns
Brother Industries secures Sharpe Ratio (or Efficiency) of -0.0805, which signifies that the company had a -0.0805% return per unit of risk over the last 3 months. Brother Industries exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Brother Industries' Risk Adjusted Performance of 0.0106, mean deviation of 1.21, and Downside Deviation of 2.91 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.55, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Brother Industries' returns are expected to increase less than the market. However, during the bear market, the loss of holding Brother Industries is expected to be smaller as well. At this point, Brother Industries has a negative expected return of -0.14%. Please make sure to confirm Brother Industries' total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to decide if Brother Industries performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.25 |
Poor predictability
Brother Industries has poor predictability. Overlapping area represents the amount of predictability between Brother Industries time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd 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 Brother Industries price movement. The serial correlation of 0.25 indicates that over 25.0% of current Brother Industries price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.25 | |
| Spearman Rank Test | 0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 1.24 |
Brother Industries lagged returns against current returns
Autocorrelation, which is Brother Industries 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 Brother Industries' stock expected returns. We can calculate the autocorrelation of Brother Industries returns to help us make a trade decision. For example, suppose you find that Brother Industries 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 |
Brother Industries 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 Brother Industries stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brother Industries stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brother Industries stock over time.
Current vs Lagged Prices |
| Timeline |
Brother Industries Lagged Returns
When evaluating Brother Industries' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brother Industries stock have on its future price. Brother Industries 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, Brother Industries autocorrelation shows the relationship between Brother Industries stock current value and its past values and can show if there is a momentum factor associated with investing in Brother Industries.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Brother Stock
Brother Industries financial ratios help investors to determine whether Brother 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 Brother with respect to the benefits of owning Brother Industries security.