Blackstone Group Backtesting

BX -- USA Stock  

USD 39.49  0.45  1.15%

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

Blackstone Group 'What if' Analysis

August 27, 2018
No Change 0.00  0.0%
In 31 days
September 26, 2018
If you would invest  0.00  in Blackstone Group on August 27, 2018 and sell it all today you would earn a total of 0.00 from holding The Blackstone Group L P or generate 0.0% return on investment in Blackstone Group over 30 days. Blackstone Group is related to or competes with Diamond Hill, AllianceBernstein, Bank of New York, Carlyle Group, Eaton Vance, and Jupai Holdings. The Blackstone Group L.P. is a publicly owned hedge fund sponsor

Blackstone Group Upside/Downside Indicators

Downside Deviation1.79
Information Ratio0.1685
Maximum Drawdown5.22
Value At Risk1.64
Potential Upside2.39

Blackstone Group Market Premium Indicators

Risk Adjusted Performance0.1007
Jensen Alpha0.3227
Total Risk Alpha0.1238
Sortino Ratio0.1475
Treynor Ratio4.99

The Blackstone Group Backtested Returns

Macroaxis considers Blackstone Group not too volatile given 1 month investment horizon. The Blackstone Group secures Sharpe Ratio (or Efficiency) of 0.1784 which signifies that The Blackstone Group had 0.1784% of return per unit of standard deviation over the last 1 month. Our philosophy in 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 The Blackstone Group L P which you can use to evaluate future volatility of the firm. Please makes use of The Blackstone Group Mean Deviation of 1.0, Risk Adjusted Performance of 0.1007 and Semi Deviation of 1.25 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Blackstone Group holds performance score of 11. The firm shows Beta (market volatility) of -0.064 which signifies that as returns on market increase, returns on owning Blackstone Group are expected to decrease at a much smaller rate. During bear market, Blackstone Group is likely to outperform the market.. Although it is vital to follow to The Blackstone Group historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy in 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 analyzing The Blackstone Group technical indicators you can presently evaluate if the expected return of 0.2834% will be sustainable into the future. Please makes use of The Blackstone Group Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to make a quick decision on weather Blackstone Group price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.77) 

Almost perfect reverse predictability

The Blackstone Group L P has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Blackstone Group time series from August 27, 2018 to September 11, 2018 and September 11, 2018 to September 26, 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 The Blackstone Group price movement. The serial correlation of -0.77 indicates that around 77.0% of current Blackstone Group price fluctuation can be explain by its past prices. Given that The Blackstone Group L P has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Blackstone Group for similar time interval.
Correlation Coefficient-0.77
Spearman Rank Test-0.53
Residual Average0.0
Price Variance1.88

The Blackstone Group lagged returns against current returns

 Current and Lagged Values 

Blackstone Group regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Blackstone Group Lagged Returns

 Regressed Prices 

Current Sentiment - BX

The Blackstone Group Investor Sentiment

Nearly all of Macroaxis users are currently bullish on The Blackstone Group L P. What is your opinion about investing in The Blackstone Group L P? Are you bullish or bearish?
98% Bullish
2% Bearish

Blackstone Group Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Blackstone Group and Diamond Hill Investment. 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
Run Pair Correlation  
Check also Blackstone Group Hype Analysis, Blackstone Group Correlation, Blackstone Group Valuation, Blackstone Group Volatility as well as analyze Blackstone Group Alpha and Beta and Blackstone Group Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.