Brown Forman Stock Market Value
| BF-B Stock | USD 48.69 0.56 1.16% |
| Symbol | Brown |
Brown Forman Price To Book Ratio
Brown Forman '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 Brown Forman'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 Brown Forman.
| 05/16/2021 |
| 04/30/2024 |
If you would invest 0.00 in Brown Forman on May 16, 2021 and sell it all today you would earn a total of 0.00 from holding Brown Forman or generate 0.0% return on investment in Brown Forman over 1080 days. Brown Forman is related to or competes with Vintage Wine, Pernod Ricard, and Pernod Ricard. Brown-Forman Corporation, together with its subsidiaries, manufactures, distills, bottles, imports, exports, markets, an... More
Brown Forman 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 Brown Forman'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 Brown Forman upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 11.19 | |||
| Value At Risk | (2.15) | |||
| Potential Upside | 2.1 |
Brown Forman Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brown Forman's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brown Forman's standard deviation. In reality, there are many statistical measures that can use Brown Forman historical prices to predict the future Brown Forman's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.24) | |||
| Total Risk Alpha | (0.38) | |||
| Treynor Ratio | (0.26) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brown Forman's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Brown Forman Backtested Returns
Brown Forman secures Sharpe Ratio (or Efficiency) of -0.11, which signifies that the company had a -0.11% return per unit of risk over the last 3 months. Brown Forman exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Brown Forman's Risk Adjusted Performance of (0.06), mean deviation of 1.08, and Standard Deviation of 1.57 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.7, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Brown Forman's returns are expected to increase less than the market. However, during the bear market, the loss of holding Brown Forman is expected to be smaller as well. Brown Forman has an expected return of -0.18%. Please make sure to confirm Brown Forman total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Brown Forman performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.41 |
Modest reverse predictability
Brown Forman has modest reverse predictability. Overlapping area represents the amount of predictability between Brown Forman time series from 16th of May 2021 to 7th of November 2022 and 7th of November 2022 to 30th of April 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 Brown Forman price movement. The serial correlation of -0.41 indicates that just about 41.0% of current Brown Forman price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.41 | |
| Spearman Rank Test | -0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 7.57 |
Brown Forman lagged returns against current returns
Autocorrelation, which is Brown Forman 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 Brown Forman's stock expected returns. We can calculate the autocorrelation of Brown Forman returns to help us make a trade decision. For example, suppose you find that Brown Forman 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 |
Brown Forman 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 Brown Forman stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brown Forman stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brown Forman stock over time.
Current vs Lagged Prices |
| Timeline |
Brown Forman Lagged Returns
When evaluating Brown Forman's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brown Forman stock have on its future price. Brown Forman 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, Brown Forman autocorrelation shows the relationship between Brown Forman stock current value and its past values and can show if there is a momentum factor associated with investing in Brown Forman.
Regressed Prices |
| Timeline |
Pair Trading with Brown Forman
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 Brown Forman 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 Brown Forman will appreciate offsetting losses from the drop in the long position's value.Moving together with Brown Stock
| 0.74 | VINE | Fresh Grapes LLC | PairCorr |
| 0.79 | WVVI | Willamette Valley | PairCorr |
| 0.61 | DEO | Diageo PLC ADR | PairCorr |
Moving against Brown Stock
| 0.86 | BG | Bunge Limited Financial Report 1st of May 2024 | PairCorr |
| 0.79 | KR | Kroger Company Financial Report 20th of June 2024 | PairCorr |
| 0.77 | STZ | Constellation Brands Financial Report 5th of July 2024 | PairCorr |
| 0.71 | LVMUY | LVMH Moet Hennessy | PairCorr |
| 0.71 | MO | Altria Group | PairCorr |
The ability to find closely correlated positions to Brown Forman could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Brown Forman 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 Brown Forman - 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 Brown Forman to buy it.
The correlation of Brown Forman 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 Brown Forman moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Brown Forman 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 Brown Forman 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.Check out Brown Forman Correlation, Brown Forman Volatility and Brown Forman Alpha and Beta module to complement your research on Brown Forman. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
Complementary Tools for Brown Stock analysis
When running Brown Forman's price analysis, check to measure Brown Forman'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 Brown Forman is operating at the current time. Most of Brown Forman's value examination focuses on studying past and present price action to predict the probability of Brown Forman's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Brown Forman's price. Additionally, you may evaluate how the addition of Brown Forman to your portfolios can decrease your overall portfolio volatility.
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Brown Forman technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.