Brpr Corporate (Brazil) Market Value
| BROF11 Stock | 55.78 0.44 0.78% |
| Symbol | Brpr |
Brpr Corporate '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 Brpr Corporate'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 Brpr Corporate.
| 03/08/2024 |
| 06/06/2024 |
If you would invest 0.00 in Brpr Corporate on March 8, 2024 and sell it all today you would earn a total of 0.00 from holding Brpr Corporate Offices or generate 0.0% return on investment in Brpr Corporate over 90 days.
Brpr Corporate 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 Brpr Corporate'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 Brpr Corporate Offices upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 6.86 | |||
| Value At Risk | (2.25) | |||
| Potential Upside | 1.62 |
Brpr Corporate Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brpr Corporate's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brpr Corporate's standard deviation. In reality, there are many statistical measures that can use Brpr Corporate historical prices to predict the future Brpr Corporate's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.14) | |||
| Treynor Ratio | 3.13 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brpr Corporate'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.
Brpr Corporate Offices Backtested Returns
Brpr Corporate Offices secures Sharpe Ratio (or Efficiency) of -0.0658, which signifies that the company had a -0.0658% return per unit of risk over the last 3 months. Brpr Corporate Offices exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Brpr Corporate's Mean Deviation of 0.8076, risk adjusted performance of (0.04), and Standard Deviation of 1.18 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0281, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Brpr Corporate are expected to decrease at a much lower rate. During the bear market, Brpr Corporate is likely to outperform the market. At this point, Brpr Corporate Offices has a negative expected return of -0.0778%. Please make sure to confirm Brpr Corporate's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Brpr Corporate Offices performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.61 |
Good predictability
Brpr Corporate Offices has good predictability. Overlapping area represents the amount of predictability between Brpr Corporate time series from 8th of March 2024 to 22nd of April 2024 and 22nd of April 2024 to 6th of June 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 Brpr Corporate Offices price movement. The serial correlation of 0.61 indicates that roughly 61.0% of current Brpr Corporate price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.61 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 1.16 |
Brpr Corporate Offices lagged returns against current returns
Autocorrelation, which is Brpr Corporate 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 Brpr Corporate's stock expected returns. We can calculate the autocorrelation of Brpr Corporate returns to help us make a trade decision. For example, suppose you find that Brpr Corporate 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 |
Brpr Corporate 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 Brpr Corporate stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brpr Corporate stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brpr Corporate stock over time.
Current vs Lagged Prices |
| Timeline |
Brpr Corporate Lagged Returns
When evaluating Brpr Corporate's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brpr Corporate stock have on its future price. Brpr Corporate 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, Brpr Corporate autocorrelation shows the relationship between Brpr Corporate stock current value and its past values and can show if there is a momentum factor associated with investing in Brpr Corporate Offices.
Regressed Prices |
| Timeline |