BP plc Backtested Returns
We consider BP plc not too risky. BP plc
retains Efficiency (Sharpe Ratio) of 0.2089 which signifies that BP plc
had 0.2089% 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-one technical indicators
for BP plc which you can use to evaluate future volatility of the firm. Please confirm BP plc Standard Deviation
of 0.6064, Market Risk Adjusted Performance
of (0.41) and Coefficient Of Variation of 478.59 to double-check if risk estimate we provide are consistent with the epected return of 0.1267%. BP plc has performance score of 14 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of -0.2752 which signifies that as returns on market increase, returns on owning BP plc are expected to decrease at a much smaller rate. During bear market, BP plc is likely to outperform the market.. 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 0.1267% will be sustainable into the future. BP plc today owns a risk of 0.6064%. Please confirm BP plc Information Ratio, and the relationship between Downside Deviation and Value At Risk to decide if BP plc will be following its current price history.
|15 days auto-correlation|| 0.43 |
BP plc has average predictability. Overlapping area represents the amount of predictability between BP plc time series from September 21, 2017 to October 6, 2017 and October 6, 2017 to October 21, 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 0.43 indicates that just about 43.0% of current BP plc price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.43|
|Spearman Rank Test|| 0.25|
|Price Variance|| 0.07|
|Lagged Price Variance|| 0.11|
BP plc Lagged Returns