BP plc Backtested Returns
We consider BP plc not too risky. BP plc
retains Efficiency (Sharpe Ratio) of 0.0113 which signifies that BP plc
had 0.0113% of return per unit of price deviation over the last 1 month. Our way in which we are foreseeing volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-six technical indicators
for BP plc which you can use to evaluate future volatility of the firm. Please confirm BP plc Standard Deviation
of 0.8423, Market Risk Adjusted Performance
of (0.17) and Coefficient Of Variation of (983.63) to double-check if risk estimate we provide are consistent with the epected return of 0.009%. BP plc has performance score of 0 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of 0.5275 which signifies that as returns on market increase, BP plc returns are expected to increase less than the market. However during bear market, the loss on holding BP plc will be expected to be smaller as well.. Although it is extremely important to respect BP plc existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way in which we are foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating BP plc technical indicators you can at this moment evaluate if the expected return of 0.009% will be sustainable into the future. BP plc today owns a risk of 0.8033%. Please confirm BP plc Downside Deviation, Value At Risk, Rate Of Daily Change, as well as the relationship between Total Risk Alpha and Expected Short fall to decide if BP plc will be following its current price history.
|15 days auto-correlation||(0.84) |
Excellent reverse predictability
BP plc has excellent reverse predictability. Overlapping area represents the amount of predictability between BP plc time series from November 12, 2017 to November 27, 2017 and November 27, 2017 to December 12, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of BP plc price movement. The serial correlation of -0.84 indicates that around 84.0% of current BP plc price fluctuation can be explain by its past prices. Given that BP plc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of BP plc for similar time interval.
|Correlation Coefficient|| -0.84|
|Spearman Rank Test|| -0.03|
|Price Variance|| 0.05|
|Lagged Price Variance|| 0.17|
BP plc Lagged Returns