International Business Backtesting

IBM -- USA Stock  

USD 151.35  2.44  1.64%

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

International Business 'What if' Analysis

August 27, 2018
No Change 0.00  0.0%
In 30 days
September 26, 2018
If you would invest  0.00  in International Business on August 27, 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 30 days. International Business is related to or competes with Gartner, Digimarc, Edgewater Technology, EPAM Systems, Accenture plc, CDW, and Computer Task. International Business Machines Corporation operates as an integrated technology and services company worldwide

International Business Upside/Downside Indicators

Downside Deviation0.7442
Information Ratio0.0072
Maximum Drawdown2.5
Value At Risk1.09
Potential Upside1.54

International Business Market Premium Indicators

Risk Adjusted Performance0.0454
Jensen Alpha0.062
Total Risk Alpha0.034712
Sortino Ratio0.0075
Treynor Ratio3.73

International Business Backtested Returns

We consider International Business not too risky. International Business holds Efficiency (Sharpe) Ratio of 0.0927 which attests that International Business had 0.0927% 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 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 Downside Deviation of 0.7442, Market Risk Adjusted Performance of 3.72 and Risk Adjusted Performance of 0.0454 to validate if risk estimate we provide are consistent with the epected return of 0.0711%. International Business has performance score of 6 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.0164 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 0.0711% will be sustainable into the future. International Business right now retains a risk of 0.7674%. 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(0.29) 

Weak reverse predictability

International Business Machines Corporation has weak reverse predictability. Overlapping area represents the amount of predictability between International Business time series from August 27, 2018 to September 11, 2018 and September 11, 2018 to September 26, 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 -0.29 indicates that nearly 29.0% 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-0.29
Spearman Rank Test-0.65
Residual Average0.0
Price Variance1.86

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 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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.