BP plc Backtested Returns
Macroaxis considers BP plc not too risky given 1 month investment horizon. BP plc
retains Efficiency (Sharpe Ratio) of 0.195 which signifies that BP plc
had 0.195% 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 makes use of BP plc Standard Deviation
of 1.15, Market Risk Adjusted Performance
of (0.46) and Coefficient Of Variation of 378.56 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 BP plc holds performance score of 12. The firm owns Beta (Systematic Risk) of -0.6239 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 0.2288% will be sustainable into the future. Please makes use of BP plc Information Ratio, and the relationship between Downside Deviation and Value At Risk to make a quick decision on weather BP plc current price history will revert.
|15 days auto-correlation||(0.38) |
Poor reverse predictability
BP plc has poor reverse predictability. Overlapping area represents the amount of predictability between BP plc time series from December 23, 2017 to January 7, 2018 and January 7, 2018 to January 22, 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 -0.38 indicates that just about 38.0% 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|| -0.38|
|Spearman Rank Test|| -0.4|
|Price Variance|| 0.18|
|Lagged Price Variance|| 0.33|
BP plc Lagged Returns