BP Backtesting

BP -- USA Stock  

USD 44.85  0.68  1.54%

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

BP 'What if' Analysis

February 25, 2018
No Change 0.00  0.0%
In 2 months and 2 days
April 26, 2018
If you would invest  0.00  in BP on February 25, 2018 and sell it all today you would earn a total of 0.00 from holding BP or generate 0.0% return on investment in BP over 60 days. BP is related to or competes with Eni SPA, Antero Resources, CJ Energy, Delek US, Diamond Offshore, and Ecopetrol SA. It operates through three segments Upstream, Downstream, and Rosneft

BP Upside/Downside Indicators

Downside Deviation1.26
Information Ratio0.2022
Maximum Drawdown5.53
Value At Risk1.85
Potential Upside2.69

BP Market Premium Indicators

Risk Adjusted Performance0.3187
Jensen Alpha0.2568
Total Risk Alpha0.2704
Sortino Ratio0.2176
Treynor Ratio1.67

BP Backtested Returns

Macroaxis considers BP not too risky given 2 months investment horizon. BP secures Sharpe Ratio (or Efficiency) of 0.1856 which signifies that BP had 0.1856% of return per unit of standard deviation over the last 2 months. Our philosophy in 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 which you can use to evaluate future volatility of the firm. Please makes use of BP Mean Deviation of 1.04, Risk Adjusted Performance of 0.3187 and Semi Deviation of 1.01 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 BP holds performance score of 12. The firm shows Beta (market volatility) of 0.1519 which signifies that as returns on market increase, BP returns are expected to increase less than the market. However during bear market, the loss on holding BP will be expected to be smaller as well.. Although it is vital to follow to BP 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 BP technical indicators you can presently evaluate if the expected return of 0.2535% will be sustainable into the future. Please makes use of BP Information Ratio, and the relationship between Downside Deviation and Value At Risk to make a quick decision on weather BP price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.19 

Very weak predictability

BP has very weak predictability. Overlapping area represents the amount of predictability between BP time series from February 25, 2018 to March 27, 2018 and March 27, 2018 to April 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 BP price movement. The serial correlation of 0.19 indicates that over 19.0% of current BP price fluctuation can be explain by its past prices.
Correlation Coefficient 0.19
Spearman Rank Test 0.22
Price Variance 2.26
Lagged Price Variance 0.24

BP lagged returns against current returns

 Current and Lagged Values 

BP regressed lagged prices vs. current prices

 Current vs Lagged Prices 

BP Lagged Returns

 Regressed Prices 

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The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
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You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
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Check also BP Hype Analysis, BP Correlation, BP Valuation, BP Volatility as well as analyze BP Alpha and Beta and BP Performance. Please also try Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.