Bristol Myers Backtesting

BMY -- USA Stock  

  Buyout Trend

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

Bristol Myers 'What if' Analysis

August 19, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 17, 2019
If you would invest  0.00  in Bristol Myers on August 19, 2019 and sell it all today you would earn a total of 0.00 from holding Bristol Myers Squibb Company or generate 0.0% return on investment in Bristol Myers over 90 days. Bristol Myers is related to or competes with GlaxoSmithKline PLC, Novartis, Johnson Johnson, Merck, Allergan Plc, and Astrazeneca PLC. Bristol-Myers Squibb Company discovers, develops, licenses, manufactures, markets, distributes, and sells biopharmaceuti...

Bristol Myers Upside/Downside Indicators

Downside Deviation1.01
Information Ratio0.2297
Maximum Drawdown6.13
Value At Risk(1.01)
Potential Upside2.29

Bristol Myers Market Premium Indicators

Risk Adjusted Performance0.27
Jensen Alpha0.2674
Total Risk Alpha0.1854
Sortino Ratio0.2396
Treynor Ratio0.4659

Bristol Myers Squibb Backtested Returns

Macroaxis considers Bristol Myers very steady given 3 months investment horizon. Bristol Myers Squibb secures Sharpe Ratio (or Efficiency) of 0.3253 which signifies that the organization had 0.3253% of return per unit of risk over the last 3 months. Our philosophy towards 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 Bristol Myers Squibb Company which you can use to evaluate future volatility of the firm. Please makes use of Bristol Myers Squibb Downside Deviation of 1.01, Risk Adjusted Performance of 0.27 and Mean Deviation of 0.7638 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Bristol Myers holds performance score of 21. The firm shows Beta (market volatility) of 0.7961 which signifies that as returns on market increase, Bristol Myers returns are expected to increase less than the market. However during bear market, the loss on holding Bristol Myers will be expected to be smaller as well. Although it is vital to follow to Bristol Myers Squibb historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards 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 Bristol Myers Squibb technical indicators you can presently evaluate if the expected return of 0.3297% will be sustainable into the future. Please makes use of Bristol Myers Squibb Semi Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Semi Variance to make a quick decision on weather Bristol Myers price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.89 
correlation synergy

Very good predictability

Bristol Myers Squibb Company has very good predictability. Overlapping area represents the amount of predictability between Bristol Myers time series from August 19, 2019 to October 3, 2019 and October 3, 2019 to November 17, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Bristol Myers Squibb price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current Bristol Myers price fluctuation can be explain by its past prices.
Correlation Coefficient0.89
Spearman Rank Test0.88
Residual Average0.0
Price Variance8.85

Bristol Myers Squibb lagged returns against current returns

 Current and Lagged Values 

Bristol Myers regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Bristol Myers Lagged Returns

 Regressed Prices 

Did you try this?

Run Idea Analyzer Now


Idea Analyzer

Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas
All  Next Launch Module

Bristol Myers Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Bristol Myers and GlaxoSmithKline PLC. 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 Bristol Myers Hype Analysis, Bristol Myers Correlation, Bristol Myers Valuation, Bristol Myers Volatility as well as analyze Bristol Myers Alpha and Beta and Bristol Myers Performance. Please also try Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.