Bristol Volatility

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BMY -- USA Stock  

Fiscal Quarter End: 30th of June 2020  

We consider Bristol Myers very steady. Bristol Myers Squibb secures Sharpe Ratio (or Efficiency) of 0.0065, which signifies that the organization had 0.0065% of return per unit of risk over the last 3 months. Our philosophy 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-eight technical indicators for Bristol Myers Squibb, which you can use to evaluate future volatility of the firm. Please confirm Bristol Myers Squibb Mean Deviation of 1.8, Downside Deviation of 2.75 and Risk Adjusted Performance of 0.1081 to double-check if the risk estimate we provide is consistent with the expected return of 0.0168%.

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Bristol Myers 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 daily returns, and it is calculated using variance and standard deviation. We also use Bristol's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Bristol Myers volatility.

90 Days Market Risk

Very steady

Chance of Distress

90 Days Economic Sensitivity

Follows market closely

Bristol Myers Market Sensitivity

As returns on market increase, Bristol Myers returns are expected to increase less than the market. However, during bear market, the loss on holding Bristol Myers will be expected to be smaller as well.
3 Months Beta |Analyze Bristol Myers Squibb Demand Trend
Check current 30 days Bristol Myers correlation with market (DOW)
β = 0.5239

Bristol Myers Central Daily Price Deviation

Bristol Myers Squibb Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Bristol Myers Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Bristol Myers Squibb moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Bristol Myers Projected Return Density Against Market

Considering 30-days investment horizon, Bristol Myers has beta of 0.5239 . This suggests as returns on market go up, Bristol Myers average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Bristol Myers Squibb will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0699 implying that it can potentially generate 0.0699% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Bristol Myers is 15463.76. The daily returns are destributed with a variance of 6.74 and standard deviation of 2.6. The mean deviation of Bristol Myers Squibb is currently at 1.76. For similar time horizon, the selected benchmark (DOW) has volatility of 4.0
α
Alpha over DOW
=0.07
β
Beta against DOW=0.52
σ
Overall volatility
=2.60
Ir
Information ratio =0.0289

Bristol Myers Return Volatility

the company has volatility of 2.5962% on return distribution over 30 days investment horizon. the entity inherits 3.9759% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About Bristol Myers Volatility

Volatility is a rate at which the price of Bristol Myers 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 may increase or decrease. In other words, similar to Bristol's beta indicator, it measures the risk of Bristol Myers and helps estimate the fluctuations that may happen in a short period of time. So if prices of Bristol Myers 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.
 2017 2018 2019 2020 (projected)
Long Term Debt to Equity0.59410.4023950.84090.9072
Interest Coverage18.4327.979.019.25
Bristol-Myers Squibb Company discovers, develops, licenses, manufactures, markets, distributes, and sells biopharmaceutical products worldwide. Bristol-Myers Squibb Company was founded in 1887 and is headquartered in New York, New York. Bristol Myers operates under Drug ManufacturersGeneral classification in USA and is traded on BATS Exchange. It employs 30000 people.

Bristol Myers Investment Opportunity

DOW has a standard deviation of returns of 3.98 and is 1.53 times more volatile than Bristol Myers Squibb. 22  of all equities and portfolios are less risky than Bristol Myers. Compared to the overall equity markets, volatility of historical daily returns of Bristol Myers Squibb is lower than 22 () of all global equities and portfolios over the last 30 days. Use Bristol Myers Squibb to protect your portfolios against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Bristol Myers to be traded at $59.01 in 30 days. . As returns on market increase, Bristol Myers returns are expected to increase less than the market. However, during bear market, the loss on holding Bristol Myers will be expected to be smaller as well.

Bristol Myers correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Bristol Myers Squibb Company and equity matching DJI index in the same portfolio.

Bristol Myers Current Risk Indicators

Bristol Myers Suggested Diversification Pairs

Continue to Trending Equities. Please also try Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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