Bristol Myers Squibb Stock Market Value
| BMYMP Stock | USD 845.00 73.55 8.01% |
| Symbol | Bristol-Myers |
Bristol-Myers Squibb 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Bristol-Myers Squibb's pink sheet what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Bristol-Myers Squibb.
| 10/10/2024 |
| 11/09/2024 |
If you would invest 0.00 in Bristol-Myers Squibb on October 10, 2024 and sell it all today you would earn a total of 0.00 from holding Bristol Myers Squibb or generate 0.0% return on investment in Bristol-Myers Squibb over 30 days. Bristol-Myers Squibb is related to or competes with Novartis, Bayer AG, Astellas Pharma, Roche Holding, Astellas Pharma, Daiichi Sankyo, and AstraZeneca PLC. Bristol-Myers Squibb Company discovers, develops, licenses, manufactures, markets, and distributes biopharmaceutical pro... More
Bristol-Myers Squibb Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Bristol-Myers Squibb's pink sheet current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Bristol Myers Squibb upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.17 | |||
| Information Ratio | 0.0218 | |||
| Maximum Drawdown | 20.21 | |||
| Value At Risk | (2.52) | |||
| Potential Upside | 3.82 |
Bristol-Myers Squibb Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bristol-Myers Squibb's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bristol-Myers Squibb's standard deviation. In reality, there are many statistical measures that can use Bristol-Myers Squibb historical prices to predict the future Bristol-Myers Squibb's volatility.| Risk Adjusted Performance | 0.0744 | |||
| Jensen Alpha | 0.1627 | |||
| Total Risk Alpha | (0.31) | |||
| Sortino Ratio | 0.0106 | |||
| Treynor Ratio | 0.6731 |
Bristol Myers Squibb Backtested Returns
Currently, Bristol Myers Squibb is very steady. Bristol Myers Squibb secures Sharpe Ratio (or Efficiency) of 0.0527, which signifies that the company had a 0.0527% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Bristol Myers Squibb, which you can use to evaluate the volatility of the firm. Please confirm Bristol-Myers Squibb's Downside Deviation of 5.17, risk adjusted performance of 0.0744, and Mean Deviation of 0.9998 to double-check if the risk estimate we provide is consistent with the expected return of 0.15%. Bristol-Myers Squibb has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.32, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Bristol-Myers Squibb's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bristol-Myers Squibb is expected to be smaller as well. Bristol Myers Squibb right now shows a risk of 2.77%. Please confirm Bristol Myers Squibb potential upside, and the relationship between the total risk alpha and kurtosis , to decide if Bristol Myers Squibb will be following its price patterns.
Auto-correlation | -0.58 |
Good reverse predictability
Bristol Myers Squibb has good reverse predictability. Overlapping area represents the amount of predictability between Bristol-Myers Squibb time series from 10th of October 2024 to 25th of October 2024 and 25th of October 2024 to 9th of November 2024. 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 -0.58 indicates that roughly 58.0% of current Bristol-Myers Squibb price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.58 | |
| Spearman Rank Test | -0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 741.64 |
Bristol Myers Squibb lagged returns against current returns
Autocorrelation, which is Bristol-Myers Squibb pink sheet's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Bristol-Myers Squibb's pink sheet expected returns. We can calculate the autocorrelation of Bristol-Myers Squibb returns to help us make a trade decision. For example, suppose you find that Bristol-Myers Squibb has exhibited high autocorrelation historically, and you observe that the pink sheet is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Bristol-Myers Squibb regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Bristol-Myers Squibb pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bristol-Myers Squibb pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bristol-Myers Squibb pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Bristol-Myers Squibb Lagged Returns
When evaluating Bristol-Myers Squibb's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bristol-Myers Squibb pink sheet have on its future price. Bristol-Myers Squibb autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Bristol-Myers Squibb autocorrelation shows the relationship between Bristol-Myers Squibb pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Bristol Myers Squibb.
Regressed Prices |
| Timeline |
Pair Trading with Bristol-Myers Squibb
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Bristol-Myers Squibb position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Bristol-Myers Squibb will appreciate offsetting losses from the drop in the long position's value.Moving against Bristol-Myers Pink Sheet
The ability to find closely correlated positions to Bristol-Myers Squibb could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bristol-Myers Squibb when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Bristol-Myers Squibb - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Bristol Myers Squibb to buy it.
The correlation of Bristol-Myers Squibb is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Bristol-Myers Squibb moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bristol Myers Squibb moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Bristol-Myers Squibb can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Bristol-Myers Pink Sheet Analysis
When running Bristol-Myers Squibb's 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 the 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.