Brookfield Preferred Stock Market Value
| BN-PFI Preferred Stock | 23.20 0.20 0.87% |
| Symbol | Brookfield |
Brookfield '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 Brookfield's preferred 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 Brookfield.
| 06/06/2024 |
| 07/06/2024 |
If you would invest 0.00 in Brookfield on June 6, 2024 and sell it all today you would earn a total of 0.00 from holding Brookfield or generate 0.0% return on investment in Brookfield over 30 days.
Brookfield 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 Brookfield's preferred 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 Brookfield upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9247 | |||
| Information Ratio | 0.2153 | |||
| Maximum Drawdown | 3.91 | |||
| Value At Risk | (1.50) | |||
| Potential Upside | 1.57 |
Brookfield Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brookfield's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brookfield's standard deviation. In reality, there are many statistical measures that can use Brookfield historical prices to predict the future Brookfield's volatility.| Risk Adjusted Performance | 0.133 | |||
| Jensen Alpha | 0.1738 | |||
| Total Risk Alpha | 0.2016 | |||
| Sortino Ratio | 0.2097 | |||
| Treynor Ratio | (1.52) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brookfield'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.
Please note, it is not enough to conduct a financial or market analysis of a single entity such as Brookfield. Your research has to be compared to or analyzed against Brookfield's peers to derive any actionable benefits. When done correctly, Brookfield's competitive analysis will give you plenty of quantitative and qualitative data to validate your investment decisions or develop an entirely new strategy toward taking a position in Brookfield.
Brookfield Backtested Returns
At this point, Brookfield is very steady. Brookfield secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the company had a 0.18% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Brookfield, which you can use to evaluate the volatility of the firm. Please confirm Brookfield's Mean Deviation of 0.6733, risk adjusted performance of 0.133, and Downside Deviation of 0.9247 to double-check if the risk estimate we provide is consistent with the expected return of 0.16%. Brookfield has a performance score of 13 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Brookfield are expected to decrease at a much lower rate. During the bear market, Brookfield is likely to outperform the market. Brookfield right now shows a risk of 0.91%. Please confirm Brookfield downside variance, rate of daily change, and the relationship between the maximum drawdown and skewness , to decide if Brookfield will be following its price patterns.
Auto-correlation | -0.86 |
Excellent reverse predictability
Brookfield has excellent reverse predictability. Overlapping area represents the amount of predictability between Brookfield time series from 6th of June 2024 to 21st of June 2024 and 21st of June 2024 to 6th of July 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 Brookfield price movement. The serial correlation of -0.86 indicates that approximately 86.0% of current Brookfield price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.86 | |
| Spearman Rank Test | -0.87 | |
| Residual Average | 0.0 | |
| Price Variance | 0.18 |
Brookfield lagged returns against current returns
Autocorrelation, which is Brookfield preferred 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 Brookfield's preferred stock expected returns. We can calculate the autocorrelation of Brookfield returns to help us make a trade decision. For example, suppose you find that Brookfield has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Brookfield 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 Brookfield preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brookfield preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brookfield preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Brookfield Lagged Returns
When evaluating Brookfield's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brookfield preferred stock have on its future price. Brookfield 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, Brookfield autocorrelation shows the relationship between Brookfield preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Brookfield.
Regressed Prices |
| Timeline |
Pair Trading with Brookfield
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 Brookfield 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 Brookfield will appreciate offsetting losses from the drop in the long position's value.Moving together with Brookfield Preferred Stock
The ability to find closely correlated positions to Brookfield could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Brookfield 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 Brookfield - 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 Brookfield to buy it.
The correlation of Brookfield 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 Brookfield moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Brookfield 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 Brookfield 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.