Bristol Myers Squibb Stock Market Value
| BMYMP Stock | USD 1,006 15.55 1.57% |
| Symbol | Bristol |
Bristol Myers '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' 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.
| 05/26/2024 |
| 11/22/2024 |
If you would invest 0.00 in Bristol Myers on May 26, 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 over 180 days. Bristol Myers 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 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' 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.
| Information Ratio | 0.1071 | |||
| Maximum Drawdown | 21.01 | |||
| Value At Risk | (0.07) | |||
| Potential Upside | 3.84 |
Bristol Myers Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bristol Myers' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bristol Myers' standard deviation. In reality, there are many statistical measures that can use Bristol Myers historical prices to predict the future Bristol Myers' volatility.| Risk Adjusted Performance | 0.1097 | |||
| Jensen Alpha | 0.4259 | |||
| Total Risk Alpha | 0.0641 | |||
| Treynor Ratio | 1.73 |
Bristol Myers Squibb Backtested Returns
Bristol Myers appears to be very steady, given 3 months investment horizon. Bristol Myers Squibb secures Sharpe Ratio (or Efficiency) of 0.14, which signifies that the company had a 0.14% return per unit of risk over the last 3 months. By analyzing Bristol Myers' technical indicators, you can evaluate if the expected return of 0.5% is justified by implied risk. Please makes use of Bristol Myers' Risk Adjusted Performance of 0.1097, mean deviation of 1.49, and Standard Deviation of 3.39 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bristol Myers holds a performance score of 11. The firm shows a Beta (market volatility) of 0.26, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bristol Myers' returns are expected to increase less than the market. However, during the bear market, the loss of holding Bristol Myers is expected to be smaller as well. Please check Bristol Myers' treynor ratio, as well as the relationship between the daily balance of power and period momentum indicator , to make a quick decision on whether Bristol Myers' price patterns will revert.
Auto-correlation | 0.18 |
Very weak predictability
Bristol Myers Squibb has very weak predictability. Overlapping area represents the amount of predictability between Bristol Myers 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 Bristol Myers Squibb price movement. The serial correlation of 0.18 indicates that over 18.0% of current Bristol Myers price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | 0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 6674.85 |
Bristol Myers Squibb lagged returns against current returns
Autocorrelation, which is Bristol Myers 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' pink sheet expected returns. We can calculate the autocorrelation of Bristol Myers returns to help us make a trade decision. For example, suppose you find that Bristol Myers 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 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 pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bristol Myers 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 pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Bristol Myers Lagged Returns
When evaluating Bristol Myers' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bristol Myers pink sheet have on its future price. Bristol Myers 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 autocorrelation shows the relationship between Bristol Myers 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
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 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 will appreciate offsetting losses from the drop in the long position's value.Moving against Bristol Pink Sheet
| 0.82 | MRK | Merck Company Fiscal Year End 6th of February 2025 | PairCorr |
| 0.79 | KO | Coca Cola Aggressive Push | PairCorr |
| 0.74 | PFE | Pfizer Inc Fiscal Year End 4th of February 2025 | PairCorr |
| 0.63 | JNJ | Johnson Johnson Fiscal Year End 28th of January 2025 | PairCorr |
| 0.62 | LNDNF | Lundin Energy AB | PairCorr |
The ability to find closely correlated positions to Bristol Myers 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 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 - 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 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 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 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 Pink Sheet Analysis
When running Bristol Myers' price analysis, check to measure Bristol Myers' 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 is operating at the current time. Most of Bristol Myers' value examination focuses on studying past and present price action to predict the probability of Bristol Myers' 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' price. Additionally, you may evaluate how the addition of Bristol Myers to your portfolios can decrease your overall portfolio volatility.