BHP Group (Australia) Market Value
| BHP Stock | 39.81 0.27 0.67% |
| Symbol | BHP |
BHP Group '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 BHP Group's stock 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 BHP Group.
| 05/26/2024 |
| 11/22/2024 |
If you would invest 0.00 in BHP Group on May 26, 2024 and sell it all today you would earn a total of 0.00 from holding BHP Group Limited or generate 0.0% return on investment in BHP Group over 180 days. BHP Group is related to or competes with Anteris Technologies, Thorney Technologies, Readytech Holdings, Aurelia Metals, Technology One, and Hotel Property. BHP Group is entity of Australia. It is traded as Stock on AU exchange. More
BHP Group 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 BHP Group's stock 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 BHP Group Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.55 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 7.92 | |||
| Value At Risk | (2.39) | |||
| Potential Upside | 2.73 |
BHP Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BHP Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BHP Group's standard deviation. In reality, there are many statistical measures that can use BHP Group historical prices to predict the future BHP Group's volatility.| Risk Adjusted Performance | 0.0172 | |||
| Jensen Alpha | 0.0023 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.1016 |
BHP Group Limited Backtested Returns
Currently, BHP Group Limited is very steady. BHP Group Limited secures Sharpe Ratio (or Efficiency) of 0.0101, which signifies that the company had a 0.0101% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for BHP Group Limited, which you can use to evaluate the volatility of the firm. Please confirm BHP Group's mean deviation of 1.16, and Risk Adjusted Performance of 0.0172 to double-check if the risk estimate we provide is consistent with the expected return of 0.0153%. The firm shows a Beta (market volatility) of 0.14, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BHP Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding BHP Group is expected to be smaller as well. BHP Group Limited now shows a risk of 1.52%. Please confirm BHP Group Limited standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if BHP Group Limited will be following its price patterns.
Auto-correlation | -0.11 |
Insignificant reverse predictability
BHP Group Limited has insignificant reverse predictability. Overlapping area represents the amount of predictability between BHP Group time series from 26th of May 2024 to 24th of August 2024 and 24th of August 2024 to 22nd 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 BHP Group Limited price movement. The serial correlation of -0.11 indicates that less than 11.0% of current BHP Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | -0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 4.89 |
BHP Group Limited lagged returns against current returns
Autocorrelation, which is BHP Group stock'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 BHP Group's stock expected returns. We can calculate the autocorrelation of BHP Group returns to help us make a trade decision. For example, suppose you find that BHP Group has exhibited high autocorrelation historically, and you observe that the stock 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 |
BHP Group 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 BHP Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BHP Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BHP Group stock over time.
Current vs Lagged Prices |
| Timeline |
BHP Group Lagged Returns
When evaluating BHP Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BHP Group stock have on its future price. BHP Group 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, BHP Group autocorrelation shows the relationship between BHP Group stock current value and its past values and can show if there is a momentum factor associated with investing in BHP Group Limited.
Regressed Prices |
| Timeline |
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Additional Tools for BHP Stock Analysis
When running BHP Group's price analysis, check to measure BHP Group'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 BHP Group is operating at the current time. Most of BHP Group's value examination focuses on studying past and present price action to predict the probability of BHP Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move BHP Group's price. Additionally, you may evaluate how the addition of BHP Group to your portfolios can decrease your overall portfolio volatility.