International Business Backtesting

International Business Machines Corporation -- USA Stock  

USD 155.41  0.6  0.39%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of International Business Machines Corporation and determine expected loss or profit from investing in International Business over given investment horizon. Please also check International Business Hype Analysis, International Business Correlation, International Business Valuation, International Business Volatility as well as analyze International Business Alpha and Beta and International Business Performance
Investment Horizon     30 Days    Login   to change
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International Business 'What if' Analysis

November 11, 2017
0.00
No Change 0.00  0.0%
In 31 days
December 11, 2017
0.00
If you would invest  0.00  in International Business on November 11, 2017 and sell it all today you would earn a total of 0.00 from holding International Business Machines Corporation or generate 0.0% return on investment in International Business over 30 days. International Business is related to or competes with Broadridge Financial, CA, Gartner, Workday, F5 Networks, and CDK Global. International Business Machines Corporations Global Technology Services segment offer IT infrastructure services, such a...

International Business Upside/Downside Indicators

  

International Business Market Premium Indicators

International Business lagged returns against current returns

 Current and Lagged Values 
      Timeline 

International Business regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

International Business Backtested Returns

Macroaxis considers International Business not too risky given 1 month investment horizon. International Business holds Efficiency (Sharpe) Ratio of 0.3468 which attests that International Business had 0.3468% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for International Business which you can use to evaluate future volatility of the corporation. Please utilize International Business Downside Deviation of 0.7145, Market Risk Adjusted Performance of 0.1811 and Risk Adjusted Performance of 0.114 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 International Business holds performance score of 22. The company retains Market Volatility (i.e. Beta) of 0.8438 which attests that as returns on market increase, International Business returns are expected to increase less than the market. However during bear market, the loss on holding International Business will be expected to be smaller as well.. Although it is extremely important to respect International Business current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating International Business technical indicators you can presently evaluate if the expected return of 0.2332% will be sustainable into the future. Please utilizes International Business Information Ratio, Value At Risk as well as the relationship between Value At Risk and Expected Short fall to make a quick decision on weather International Business Machines Corporation current trending patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.49 

Average predictability

International Business Machines Corporation has average predictability. Overlapping area represents the amount of predictability between International Business time series from November 11, 2017 to November 26, 2017 and November 26, 2017 to December 11, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of International Business price movement. The serial correlation of 0.49 indicates that about 49.0% of current International Business price fluctuation can be explain by its past prices.
Correlation Coefficient 0.49
Spearman Rank Test 0.68
Price Variance 1.58
Lagged Price Variance 2.85

International Business Lagged Returns

 Regressed Prices 
      Timeline 

International Business Performance vs DOW

The median price of International Business for the period between Sat, Nov 11, 2017 and Mon, Dec 11, 2017 is 151.98 with a coefficient of variation of 1.75. The daily time series for the period is distributed with a sample standard deviation of 2.66, arithmetic mean of 152.02, and mean deviation of 2.2. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Sale by Jon Iwata of 264 shares of International Business11/17/2017
2
Exercise or conversion by Stanley Sutula of 218 shares of In...12/11/2017