Broadcom Stock Market Value
| AVGO Stock | 46.39 1.12 2.47% |
| Symbol | Broadcom |
Broadcom '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 Broadcom'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 Broadcom.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in Broadcom on December 16, 2024 and sell it all today you would earn a total of 0.00 from holding Broadcom or generate 0.0% return on investment in Broadcom over 90 days. Broadcom is related to or competes with BluMetric Environmental, Plantify Foods, Quipt Home, Dream Office, and Titanium Transportation. More
Broadcom 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 Broadcom'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 Broadcom upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 22.38 | |||
| Value At Risk | (6.14) | |||
| Potential Upside | 4.23 |
Broadcom Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Broadcom's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Broadcom's standard deviation. In reality, there are many statistical measures that can use Broadcom historical prices to predict the future Broadcom's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | 0.12 | |||
| Treynor Ratio | (0.67) |
Broadcom Backtested Returns
Broadcom secures Sharpe Ratio (or Efficiency) of -0.0902, which signifies that the company had a -0.0902 % return per unit of risk over the last 3 months. Broadcom exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Broadcom's Risk Adjusted Performance of (0.07), mean deviation of 2.52, and Standard Deviation of 3.7 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.51, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Broadcom's returns are expected to increase less than the market. However, during the bear market, the loss of holding Broadcom is expected to be smaller as well. At this point, Broadcom has a negative expected return of -0.33%. Please make sure to confirm Broadcom's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Broadcom performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.19 |
Very weak predictability
Broadcom has very weak predictability. Overlapping area represents the amount of predictability between Broadcom time series from 16th of December 2024 to 30th of January 2025 and 30th of January 2025 to 16th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Broadcom price movement. The serial correlation of 0.19 indicates that over 19.0% of current Broadcom price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.19 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 17.63 |
Broadcom lagged returns against current returns
Autocorrelation, which is Broadcom 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 Broadcom's stock expected returns. We can calculate the autocorrelation of Broadcom returns to help us make a trade decision. For example, suppose you find that Broadcom 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 |
Broadcom 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 Broadcom stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Broadcom stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Broadcom stock over time.
Current vs Lagged Prices |
| Timeline |
Broadcom Lagged Returns
When evaluating Broadcom's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Broadcom stock have on its future price. Broadcom 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, Broadcom autocorrelation shows the relationship between Broadcom stock current value and its past values and can show if there is a momentum factor associated with investing in Broadcom.
Regressed Prices |
| Timeline |
Pair Trading with Broadcom
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 Broadcom 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 Broadcom will appreciate offsetting losses from the drop in the long position's value.Moving together with Broadcom Stock
Moving against Broadcom Stock
The ability to find closely correlated positions to Broadcom could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Broadcom 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 Broadcom - 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 Broadcom to buy it.
The correlation of Broadcom 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 Broadcom moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Broadcom 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 Broadcom 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 Broadcom Correlation, Broadcom Volatility and Broadcom Alpha and Beta module to complement your research on Broadcom. For information on how to trade Broadcom Stock refer to our How to Trade Broadcom Stock guide.You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Broadcom 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.