International Business Backtesting

IBM -- USA Stock  

USD 120.64  0.56  0.46%

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.
Horizon     30 Days    Login   to change
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Backtest

International Business 'What if' Analysis

October 14, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 13, 2018
0.00
If you would invest  0.00  in International Business on October 14, 2018 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 60 days. International Business is related to or competes with Gartner, Digimarc, EPAM Systems, Accenture plc, CDW, Computer Task, and DXC Technology. International Business Machines Corporation operates as an integrated technology and services company worldwide

International Business Upside/Downside Indicators

Information Ratio(0.12)
Maximum Drawdown11.9
Value At Risk(4.13)
Potential Upside2.83
  

International Business Market Premium Indicators

Risk Adjusted Performance(0.25)
Jensen Alpha(0.31)
Total Risk Alpha(0.16)
Treynor Ratio(0.54)

International Business Backtested Returns

Macroaxis considers International Business to be not too risky. International Business holds Efficiency (Sharpe) Ratio of -0.163 which attests that International Business had -0.163% of return per unit of risk over the last 2 months. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. International Business exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out International Business Market Risk Adjusted Performance of (0.53) and Risk Adjusted Performance of (0.25) to validate risk estimate we provide. Macroaxis gives International Business performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.8156 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.. Even though it is essential to pay attention to International Business current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. International Business exposes twenty-eight different technical indicators which can help you to evaluate its performance. International Business has expected return of -0.3594%. Please be advised to check out International Business Expected Short fall, and the relationship between Value At Risk and Daily Balance Of Power to decide if International Business past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.47) 
correlation synergy

Modest reverse predictability

International Business Machines Corporation has modest reverse predictability. Overlapping area represents the amount of predictability between International Business time series from October 14, 2018 to November 13, 2018 and November 13, 2018 to December 13, 2018. 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 -0.47 indicates that about 47.0% of current International Business price fluctuation can be explain by its past prices. Given that International Business Machines Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of International Business for similar time interval.
Correlation Coefficient-0.47
Spearman Rank Test-0.33
Residual Average0.0
Price Variance4.24

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 Lagged Returns

 Regressed Prices 
      Timeline 

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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. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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