International Business Backtesting

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IBM -- USA Stock  

Earnings Report: April 21, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of International Business Machines and determine expected loss or profit from investing in International Business over given investment horizon. Please also see 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

International Business 'What if' Analysis

October 28, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 26, 2020
If you would invest  0.00  in International Business on October 28, 2019 and sell it all today you would earn a total of 0.00 from holding International Business Machines or generate 0.0% return on investment in International Business over 90 days. International Business is related to or competes with Genpact, Broadridge Financial, Gartner, Digimarc, EPAM Systems, ExlService Holdings, and Accenture Plc. International Business Machines Corporation operates as an integrated technology and services company worldwide

International Business Upside/Downside Indicators

Downside Deviation0.8158
Information Ratio(0.036856)
Maximum Drawdown4.1
Value At Risk(1.56)
Potential Upside1.21

International Business Market Premium Indicators

Risk Adjusted Performance0.0467
Jensen Alpha0.0728
Total Risk Alpha(0.11)
Sortino Ratio(0.039355)
Treynor Ratio(1.06)

International Business Backtested Returns

We consider International Business very steady. International Business holds Efficiency (Sharpe) Ratio of 0.0641 which attests that the entity had 0.0641% of return per unit of risk over the last 3 months. Our philosophy towards determining 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-one technical indicators for International Business which you can use to evaluate future volatility of the corporation. Please check out International Business Market Risk Adjusted Performance of (1.05), Downside Deviation of 0.8158 and Risk Adjusted Performance of 0.0467 to validate if risk estimate we provide are consistent with the epected return of 0.0565%. International Business has performance score of 4 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.063 which attests that as returns on market increase, returns on owning International Business are expected to decrease at a much smaller rate. During bear market, International Business is likely to outperform the market. 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 0.0565% will be sustainable into the future. International Business right now retains a risk of 0.8813%. Please check out International Business Information Ratio, Value At Risk as well as the relationship between Value At Risk and Expected Short fall to decide if International Business will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.52) 
correlation synergy

Good reverse predictability

International Business Machines has good reverse predictability. Overlapping area represents the amount of predictability between International Business time series from October 28, 2019 to December 12, 2019 and December 12, 2019 to January 26, 2020. 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 -0.52 indicates that about 52.0% of current International Business price fluctuation can be explain by its past prices. Given that International Business Machines 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-0.52
Spearman Rank Test-0.46
Residual Average0.0
Price Variance6.96

International Business lagged returns against current returns

 Current and Lagged Values 

International Business regressed lagged prices vs. current prices

 Current vs Lagged Prices 

International Business Lagged Returns

 Regressed Prices 

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Please also see 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.