Bristol-Myers Stock Volatility

BMY -  USA Stock  

USD 68.15  0.58  0.84%

We consider Bristol-Myers Squibb very steady. Bristol-Myers Squibb secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had 0.13% of return per unit of risk over the last 3 months. Our standpoint towards foreseeing the 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-seven technical indicators for Bristol-Myers Squibb, which you can use to evaluate the future volatility of the firm. Please confirm Bristol-Myers Squibb Downside Deviation of 1.12, risk adjusted performance of 0.0406, and Mean Deviation of 0.7767 to double-check if the risk estimate we provide is consistent with the expected return of 0.12%.

Search Volatility 

 
Refresh
Bristol-Myers Squibb Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Bristol-Myers daily returns, and it is calculated using variance and standard deviation. We also use Bristol-Myers's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Bristol-Myers Squibb volatility.

30 Days Market Risk

Very steady

Chance of Distress

30 Days Economic Sensitivity

Slowly supersedes the market

Bristol-Myers Squibb Market Sensitivity And Downside Risk

Bristol-Myers Squibb's beta coefficient measures the volatility of Bristol-Myers stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Bristol-Myers stock's returns against your selected market. In other words, Bristol-Myers Squibb's beta of 0.27 provides an investor with an approximation of how much risk Bristol-Myers Squibb stock can potentially add to one of your existing portfolios.
Let's try to break down what Bristol-Myers's beta means in this case. As returns on the market increase, Bristol-Myers Squibb returns are expected to increase less than the market. However, during the bear market, the loss on holding Bristol-Myers Squibb will be expected to be smaller as well.
3 Months Beta |Analyze Bristol-Myers Squibb Demand Trend
Check current 90 days Bristol-Myers Squibb correlation with market (DOW)

Bristol-Myers Beta

    
  0.27  
Bristol-Myers standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.91  
It is essential to understand the difference between upside risk (as represented by Bristol-Myers Squibb's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Bristol-Myers Squibb stock's daily returns or price. Since the actual investment returns on holding a position in Bristol-Myers Squibb stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Bristol-Myers Squibb.

Bristol-Myers Squibb Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Bristol-Myers Squibb Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Bristol-Myers Squibb Projected Return Density Against Market

Considering the 90-day investment horizon Bristol-Myers Squibb has a beta of 0.2742 suggesting as returns on the market go up, Bristol-Myers Squibb average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Bristol-Myers Squibb will be expected to be much smaller as well.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Bristol-Myers Squibb or Healthcare sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Bristol-Myers Squibb stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Bristol-Myers stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.0342, implying that it can generate a 0.0342 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Bristol-Myers Squibb Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Bristol-Myers Squibb or Healthcare sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Bristol-Myers Squibb stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Bristol-Myers stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Considering the 90-day investment horizon the coefficient of variation of Bristol-Myers Squibb is 770.53. The daily returns are distributed with a variance of 0.84 and standard deviation of 0.91. The mean deviation of Bristol-Myers Squibb is currently at 0.71. For similar time horizon, the selected benchmark (DOW) has volatility of 0.74
α
Alpha over DOW
0.0342
β
Beta against DOW0.27
σ
Overall volatility
0.91
Ir
Information ratio 0.0041

Bristol-Myers Squibb Stock Return Volatility

Bristol-Myers Squibb historical daily return volatility represents how much Bristol-Myers Squibb stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company has volatility of 0.9143% on return distribution over 90 days investment horizon. By contrast, DOW inherits 0.7439% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Bristol-Myers Squibb Volatility

Volatility is a rate at which the price of Bristol-Myers Squibb or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Bristol-Myers Squibb may increase or decrease. In other words, similar to Bristol-Myers's beta indicator, it measures the risk of Bristol-Myers Squibb and helps estimate the fluctuations that may happen in a short period of time. So if prices of Bristol-Myers Squibb fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Last ReportedProjected for 2021
Market Capitalization140.2 B125.7 B
Bristol-Myers Squibb Company discovers, develops, licenses, manufactures, and markets biopharmaceutical products worldwide. Bristol-Myers Squibb Company was founded in 1887 and is headquartered in New York, New York. Bristol-Myers Squibb operates under Drug ManufacturersGeneral classification in the United States and is traded on New York Stock Exchange. It employs 30250 people.

Nearest Bristol-Myers long CALL Option Payoff at Expiration

Bristol-Myers Squibb's implied volatility is one of the determining factors in the pricing options written on Bristol-Myers Squibb. Implied volatility approximates the future value of Bristol-Myers Squibbusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Bristol-Myers Squibb over a specific time period.
View All Bristol-Myers options
BMY210730C00055000 is a CALL option contract on Bristol-Myers Squibb's common stock with a strick price of 55.0 expiring on 2021-07-30. The contract was not traded in recent days and, as of today, has 0 days remaining before the expiration. The option is currently trading at a bid price of $12.7, and an ask price of $13.45. The implied volatility as of the 30th of July is 284.0516.
 Profit 
Share
      Bristol-Myers Squibb Price At Expiration 

Bristol-Myers Squibb Investment Opportunity

Bristol-Myers Squibb has a volatility of 0.91 and is 1.23 times more volatile than DOW. of all equities and portfolios are less risky than Bristol-Myers Squibb. Compared to the overall equity markets, volatility of historical daily returns of Bristol-Myers Squibb is lower than 7 () of all global equities and portfolios over the last 90 days. Use Bristol-Myers Squibb to protect your portfolios against small market fluctuations. The stock experiences a moderate downward daily trend and can be a good diversifier. Check odds of Bristol-Myers Squibb to be traded at $66.79 in 90 days. . Let's try to break down what Bristol-Myers's beta means in this case. As returns on the market increase, Bristol-Myers Squibb returns are expected to increase less than the market. However, during the bear market, the loss on holding Bristol-Myers Squibb will be expected to be smaller as well.

Average diversification

The correlation between Bristol-Myers Squibb and DJI is Average diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bristol-Myers Squibb and DJI in the same portfolio assuming nothing else is changed.

Bristol-Myers Squibb Additional Risk Indicators

The analysis of Bristol-Myers Squibb's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Bristol-Myers Squibb's investment and either accepting that risk or mitigating it. Along with some common measures of Bristol-Myers Squibb stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance0.0406
Market Risk Adjusted Performance0.1756
Mean Deviation0.7767
Semi Deviation1.06
Downside Deviation1.12
Coefficient Of Variation1973.15
Standard Deviation1.09
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Bristol-Myers Squibb Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
Global X vs. Bristol-Myers Squibb
20 Year vs. Bristol-Myers Squibb
Sentinelone Inc vs. Bristol-Myers Squibb
Advance Auto vs. Bristol-Myers Squibb
Vmware vs. Bristol-Myers Squibb
Qualcomm vs. Bristol-Myers Squibb
Salesforce vs. Bristol-Myers Squibb
Home Depot vs. Bristol-Myers Squibb
Global X vs. Bristol-Myers Squibb
Healthcare Bull vs. Bristol-Myers Squibb
Facebook vs. Bristol-Myers Squibb
Otp Bank vs. Bristol-Myers Squibb
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Bristol-Myers Squibb as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Bristol-Myers Squibb's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Bristol-Myers Squibb's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Bristol-Myers Squibb.
Continue to Trending Equities. Note that the Bristol-Myers Squibb information on this page should be used as a complementary analysis to other Bristol-Myers Squibb's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.

Complementary Tools for Bristol-Myers Stock analysis

When running Bristol-Myers Squibb price analysis, check to measure Bristol-Myers Squibb's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Bristol-Myers Squibb is operating at the current time. Most of Bristol-Myers Squibb's value examination focuses on studying past and present price action to predict the probability of Bristol-Myers Squibb's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Bristol-Myers Squibb's price. Additionally, you may evaluate how the addition of Bristol-Myers Squibb to your portfolios can decrease your overall portfolio volatility.
Idea Breakdown
Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes
Go
Cryptocurrency Center
Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency
Go
Portfolio Rebalancing
Analyze risk-adjusted returns against different time horizons to find asset-allocation targets
Go
Idea Optimizer
Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio
Go
Equity Forecasting
Use basic forecasting models to generate price predictions and determine price momentum
Go
Price Transformation
Use Price Transformation models to analyze depth of different equity instruments across global markets
Go
Portfolio Volatility
Check portfolio volatility and analyze historical return density to properly model market risk
Go
Portfolio File Import
Quickly import all of your third-party portfolios from your local drive in csv format
Go
Analyst Recommendations
Analyst recommendations and target price estimates broken down by several categories
Go
Idea Analyzer
Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas
Go
The market value of Bristol-Myers Squibb is measured differently than its book value, which is the value of Bristol-Myers that is recorded on the company's balance sheet. Investors also form their own opinion of Bristol-Myers Squibb's value that differs from its market value or its book value, called intrinsic value, which is Bristol-Myers Squibb's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Bristol-Myers Squibb's market value can be influenced by many factors that don't directly affect Bristol-Myers Squibb underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Bristol-Myers Squibb's value and its price as these two are different measures arrived at by different means. Investors typically determine Bristol-Myers Squibb value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Bristol-Myers Squibb's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.