International Business Backtesting

International Business Machines Corporation -- USA Stock  

USD 161.29  0.39  0.24%

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

International Business 'What if' Analysis

September 20, 2017
No Change 0.00  0.0%
In 31 days
October 20, 2017
If you would invest  0.00  in International Business on September 20, 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 

International Business regressed lagged prices vs. current prices

 Current vs Lagged Prices 

International Business Backtested Returns

Macroaxis considers International Business not too risky given 1 month investment horizon. International Business holds Efficiency (Sharpe) Ratio of 0.2342 which attests that International Business had 0.2342% 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-five technical indicators for International Business which you can use to evaluate future volatility of the corporation. Please utilize International Business Coefficient Of Variation of 417.56, Market Risk Adjusted Performance of 0.2323 and Risk Adjusted Performance of 0.0636 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 International Business holds performance score of 15. The company retains Market Volatility (i.e. Beta) of 2.0393 which attests that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, International Business will likely underperform.. Although it is vital to follow to International Business current price history, it is good to be conservative about what you can actually do with the information regarding 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 0.4432% will be sustainable into the future. Please utilizes International Business Potential Upside as well as the relationship between Skewness and Day Median Price to make a quick decision on weather International Business Machines Corporation current trending patternss will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.64 

Good predictability

International Business Machines Corporation has good predictability. Overlapping area represents the amount of predictability between International Business time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 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 0.64 indicates that roughly 64.0% of current International Business price fluctuation can be explain by its past prices.
Correlation Coefficient 0.64
Spearman Rank Test 0.53
Price Variance 34.27
Lagged Price Variance 0.38

International Business Lagged Returns

 Regressed Prices 

International Business Performance vs DOW

The median price of International Business for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 146.66 with a coefficient of variation of 2.8. The daily time series for the period is distributed with a sample standard deviation of 4.14, arithmetic mean of 147.71, and mean deviation of 2.34. The Stock received some media coverage during the period.
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