Borusan Mannesmann (Turkey) Market Value
| BRSAN Stock | TRY 427.50 2.50 0.59% |
| Symbol | Borusan |
Borusan Mannesmann '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 Borusan Mannesmann'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 Borusan Mannesmann.
| 11/11/2024 |
| 01/10/2025 |
If you would invest 0.00 in Borusan Mannesmann on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Borusan Mannesmann Boru or generate 0.0% return on investment in Borusan Mannesmann over 60 days. Borusan Mannesmann is related to or competes with Cimsa Cimento, Aksa Akrilik, EIS Eczacibasi, Kordsa Global, and Otokar Otomotiv. Borusan Mannesmann Boru Sanayi ve Ticaret A.S More
Borusan Mannesmann 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 Borusan Mannesmann'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 Borusan Mannesmann Boru upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.31 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 15.73 | |||
| Value At Risk | (3.24) | |||
| Potential Upside | 3.52 |
Borusan Mannesmann Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Borusan Mannesmann's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Borusan Mannesmann's standard deviation. In reality, there are many statistical measures that can use Borusan Mannesmann historical prices to predict the future Borusan Mannesmann's volatility.| Risk Adjusted Performance | 0.0119 | |||
| Jensen Alpha | (0.0009) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.015 |
Borusan Mannesmann Boru Backtested Returns
Borusan Mannesmann is very steady at the moment. Borusan Mannesmann Boru secures Sharpe Ratio (or Efficiency) of 0.0549, which signifies that the company had a 0.0549% return per unit of risk over the last 3 months. We have found thirty technical indicators for Borusan Mannesmann Boru, which you can use to evaluate the volatility of the firm. Please confirm Borusan Mannesmann's Downside Deviation of 2.31, risk adjusted performance of 0.0119, and Mean Deviation of 1.67 to double-check if the risk estimate we provide is consistent with the expected return of 0.13%. Borusan Mannesmann has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.37, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Borusan Mannesmann's returns are expected to increase less than the market. However, during the bear market, the loss of holding Borusan Mannesmann is expected to be smaller as well. Borusan Mannesmann Boru right now shows a risk of 2.34%. Please confirm Borusan Mannesmann Boru treynor ratio, kurtosis, period momentum indicator, as well as the relationship between the downside variance and day median price , to decide if Borusan Mannesmann Boru will be following its price patterns.
Auto-correlation | 0.45 |
Average predictability
Borusan Mannesmann Boru has average predictability. Overlapping area represents the amount of predictability between Borusan Mannesmann time series from 11th of November 2024 to 11th of December 2024 and 11th of December 2024 to 10th of January 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 Borusan Mannesmann Boru price movement. The serial correlation of 0.45 indicates that just about 45.0% of current Borusan Mannesmann price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.45 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 86.04 |
Borusan Mannesmann Boru lagged returns against current returns
Autocorrelation, which is Borusan Mannesmann 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 Borusan Mannesmann's stock expected returns. We can calculate the autocorrelation of Borusan Mannesmann returns to help us make a trade decision. For example, suppose you find that Borusan Mannesmann 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 |
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Borusan Mannesmann 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 Borusan Mannesmann stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Borusan Mannesmann stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Borusan Mannesmann stock over time.
Current vs Lagged Prices |
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Borusan Mannesmann Lagged Returns
When evaluating Borusan Mannesmann's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Borusan Mannesmann stock have on its future price. Borusan Mannesmann 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, Borusan Mannesmann autocorrelation shows the relationship between Borusan Mannesmann stock current value and its past values and can show if there is a momentum factor associated with investing in Borusan Mannesmann Boru.
Regressed Prices |
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Thematic Opportunities
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Other Information on Investing in Borusan Stock
Borusan Mannesmann financial ratios help investors to determine whether Borusan Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Borusan with respect to the benefits of owning Borusan Mannesmann security.