Brederode (Belgium) Market Value
BREB Stock | EUR 105.80 0.80 0.76% |
Symbol | Brederode |
Brederode '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 Brederode'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 Brederode.
12/06/2022 |
| 11/25/2024 |
If you would invest 0.00 in Brederode on December 6, 2022 and sell it all today you would earn a total of 0.00 from holding Brederode SA or generate 0.0% return on investment in Brederode over 720 days. Brederode is related to or competes with Groep Brussel, Sofina Socit, Ackermans Van, KBC Ancora, GIMV NV, and TINC Comm. Brederode SA is a venture capital and private equity firm specializing in direct and fund of fund investments More
Brederode 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 Brederode'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 Brederode SA upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | (0.13) | |||
Maximum Drawdown | 5.95 | |||
Value At Risk | (1.87) | |||
Potential Upside | 1.65 |
Brederode Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brederode's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brederode's standard deviation. In reality, there are many statistical measures that can use Brederode historical prices to predict the future Brederode's volatility.Risk Adjusted Performance | (0.01) | |||
Jensen Alpha | (0.08) | |||
Total Risk Alpha | (0.20) | |||
Treynor Ratio | (0.06) |
Brederode SA Backtested Returns
Currently, Brederode SA is very steady. Brederode SA secures Sharpe Ratio (or Efficiency) of 0.0107, which signifies that the company had a 0.0107% return per unit of standard deviation over the last 3 months. We have found twenty-four technical indicators for Brederode SA, which you can use to evaluate the volatility of the firm. Please confirm Brederode's risk adjusted performance of (0.01), and Mean Deviation of 0.8849 to double-check if the risk estimate we provide is consistent with the expected return of 0.0117%. The firm shows a Beta (market volatility) of 0.47, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Brederode's returns are expected to increase less than the market. However, during the bear market, the loss of holding Brederode is expected to be smaller as well. Brederode SA right now shows a risk of 1.09%. Please confirm Brederode SA standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Brederode SA will be following its price patterns.
Auto-correlation | -0.36 |
Poor reverse predictability
Brederode SA has poor reverse predictability. Overlapping area represents the amount of predictability between Brederode time series from 6th of December 2022 to 1st of December 2023 and 1st of December 2023 to 25th 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 Brederode SA price movement. The serial correlation of -0.36 indicates that just about 36.0% of current Brederode price fluctuation can be explain by its past prices.
Correlation Coefficient | -0.36 | |
Spearman Rank Test | -0.49 | |
Residual Average | 0.0 | |
Price Variance | 30.85 |
Brederode SA lagged returns against current returns
Autocorrelation, which is Brederode 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 Brederode's stock expected returns. We can calculate the autocorrelation of Brederode returns to help us make a trade decision. For example, suppose you find that Brederode 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 |
Brederode 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 Brederode stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brederode stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brederode stock over time.
Current vs Lagged Prices |
Timeline |
Brederode Lagged Returns
When evaluating Brederode's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brederode stock have on its future price. Brederode 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, Brederode autocorrelation shows the relationship between Brederode stock current value and its past values and can show if there is a momentum factor associated with investing in Brederode SA.
Regressed Prices |
Timeline |
Pair Trading with Brederode
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Brederode position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Brederode will appreciate offsetting losses from the drop in the long position's value.Moving together with Brederode Stock
Moving against Brederode Stock
The ability to find closely correlated positions to Brederode could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Brederode when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Brederode - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Brederode SA to buy it.
The correlation of Brederode is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Brederode moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Brederode SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Brederode can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Brederode Stock Analysis
When running Brederode's price analysis, check to measure Brederode'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 Brederode is operating at the current time. Most of Brederode's value examination focuses on studying past and present price action to predict the probability of Brederode's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Brederode's price. Additionally, you may evaluate how the addition of Brederode to your portfolios can decrease your overall portfolio volatility.