BP plc Backtesting

BP -- USA Stock  

USD 44.67  0.55  1.22%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of BP plc and determine expected loss or profit from investing in BP plc over given investment horizon. Check also BP plc Hype Analysis, BP plc Correlation, BP plc Valuation, BP plc Volatility as well as analyze BP plc Alpha and Beta and BP plc Performance.
Horizon     30 Days    Login   to change

BP plc 'What if' Analysis

August 26, 2018
No Change 0.00  0.0%
In 31 days
September 25, 2018
If you would invest  0.00  in BP plc on August 26, 2018 and sell it all today you would earn a total of 0.00 from holding BP plc or generate 0.0% return on investment in BP plc over 30 days. BP plc is related to or competes with Eni SPA, Adams Resources, Ecopetrol, EQT GP, Equinor ASA, and Aegean Marine. It operates through three segments Upstream, Downstream, and Rosneft

BP plc Upside/Downside Indicators

Downside Deviation0.8476
Information Ratio0.0961
Maximum Drawdown2.51
Value At Risk1.33
Potential Upside1.33

BP plc Market Premium Indicators

Risk Adjusted Performance0.142
Jensen Alpha0.1397
Total Risk Alpha0.029092
Sortino Ratio0.0943
Treynor Ratio0.3824

BP plc Backtested Returns

We consider BP plc not too risky. BP plc retains Efficiency (Sharpe Ratio) of 0.1875 which signifies that BP plc had 0.1875% 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 stock 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 0.8316, Market Risk Adjusted Performance of 0.3924 and Coefficient Of Variation of 348.34 to double-check if risk estimate we provide are consistent with the epected return of 0.1549%. BP plc has performance score of 12 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of 0.5981 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 0.1549% will be sustainable into the future. BP plc today owns a risk of 0.8263%. 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.93) 

Near perfect reversele predictability

BP plc has near perfect reversele predictability. Overlapping area represents the amount of predictability between BP plc time series from August 26, 2018 to September 10, 2018 and September 10, 2018 to September 25, 2018. 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 -0.93 indicates that approximately 93.0% 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-0.93
Spearman Rank Test-0.92
Residual Average0.0
Price Variance0.57

BP plc lagged returns against current returns

 Current and Lagged Values 

BP plc regressed lagged prices vs. current prices

 Current vs Lagged Prices 

BP plc Lagged Returns

 Regressed Prices 

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BP plc Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for BP plc and Eni S p. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also BP plc Hype Analysis, BP plc Correlation, BP plc Valuation, BP plc Volatility as well as analyze BP plc Alpha and Beta and BP plc Performance. Please also try Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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