Bristol Volatility

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BMY -- USA Stock  

Report: 6th of August 2020  

Bristol Myers Squibb secures Sharpe Ratio (or Efficiency) of -0.0357, which signifies that the company had -0.0357% of return per unit of risk over the last 3 months. Macroaxis standpoint towards foreseeing the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Bristol Myers Squibb exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Bristol Myers Squibb mean deviation of 1.09, risk adjusted performance of 0.0279, and downside deviation of 1.54 to double-check the risk estimate we provide.

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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

Below Average

90 Days Economic Sensitivity

Moves indifferently to market moves

Bristol Myers Market Sensitivity And Downside Risk

Bristol Myers Squibb beta coefficient measures the volatility of Bristol 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 stock's returns against your selected market. In other words, Bristol Myers's beta of -0.0436 provides an investor with an approximation of how much risk Bristol Myers stock can potentially add to one of your existing portfolios. Let's try to break down what Bristol's beta means in this case. As returns on the market increase, returns on owning Bristol Myers are expected to decrease at a much lower rate. During the bear market, Bristol Myers is likely to outperform the market.
3 Months Beta |Analyze Bristol Myers Squibb Demand Trend
Check current 30 days Bristol Myers correlation with market (DOW)
β

Current Bristol Myers Beta Coefficient

 = 

Bristol Myers Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by Bristol Myers's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Bristol Myers stock's daily returns or price. Since the actual investment returns on holding a position in Bristol Myers 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.

Bristol Myers Squibb Volatility 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 the 30-days investment horizon, Bristol Myers Squibb has a beta of -0.0436 suggesting as returns on benchmark increase, returns on holding Bristol Myers are expected to decrease at a much lower rate. During the bear market, however, Bristol Myers Squibb is likely to outperform the market. Moreover, 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 or Pharmaceutical Products 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 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 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 0.0216, implying that it can generate a 0.0216 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Bristol Myers 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 or Pharmaceutical Products 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 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 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 30-days investment horizon, the coefficient of variation of Bristol Myers is -2802.5. The daily returns are destributed with a variance of 2.08 and standard deviation of 1.44. The mean deviation of Bristol Myers Squibb is currently at 1.06. For similar time horizon, the selected benchmark (DOW) has volatility of 1.78
α
Alpha over DOW
=0.0216
β
Beta against DOW=-0.04
σ
Overall volatility
=1.44
Ir
Information ratio =-0.1

Bristol Myers Return Volatility

Bristol Myers historical daily return volatility represents how much Bristol Myers 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 1.441% on return distribution over 30 days investment horizon. By contrast, DOW inherits 1.8046% 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.
Last ReportedProjected for 2020
Market Capitalization104.6 B102.2 B
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 the United States and is traded on BATS Exchange. It employs 30000 people.

Bristol Myers Investment Opportunity

DOW has a standard deviation of returns of 1.8 and is 1.25 times more volatile than Bristol Myers Squibb. 12  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 12 () of all global equities and portfolios over the last 30 days. Use Bristol Myers Squibb to enhance returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of Bristol Myers to be traded at $63.53 in 30 days. . Let's try to break down what Bristol's beta means in this case. As returns on the market increase, returns on owning Bristol Myers are expected to decrease at a much lower rate. During the bear market, Bristol Myers is likely to outperform the market.

Bristol Myers correlation with market

correlation synergy
Good 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 Additional Risk Indicators

The analysis of various secondary risk indicators of Bristol Myers 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 investment, and either accepting that risk or mitigating it. Along with some common measures of Bristol Myers 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 your existing portfolio. 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 the like to determine which investment holds the most risk.
Risk Adjusted Performance0.0279
Market Risk Adjusted Performance(0.33)
Mean Deviation1.09
Semi Deviation1.46
Downside Deviation1.54
Coefficient Of Variation5933.58
Standard Deviation1.46

Bristol Myers 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.
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