International Business Backtesting

International Business Machines Corporation -- USA Stock  

USD 145.13  0.13  0.090000%

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

August 26, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
September 25, 2017
 0.00 
If you would invest  0.00  in International Business on August 26, 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

We consider International Business not too risky. International Business holds Efficiency (Sharpe) Ratio of 0.1561 which attests that International Business had 0.1561% 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 check out International Business Downside Deviation of 0.5001, Market Risk Adjusted Performance of 0.0902 and Risk Adjusted Performance of 0.0619 to validate if risk estimate we provide are consistent with the epected return of 0.0978%. International Business has performance score of 10 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 1.0797 which attests that International Business returns are very sensitive to returns on the market. as market goes up or down, International Business is expected to follow.. 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 0.0978% will be sustainable into the future. International Business right now retains a risk of 0.6265%. 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 patternss.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.37) 

Poor reverse predictability

International Business Machines Corporation has poor reverse predictability. Overlapping area represents the amount of predictability between International Business time series from August 26, 2017 to September 10, 2017 and September 10, 2017 to September 25, 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 -0.37 indicates that just about 37.0% 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 -0.37
Spearman Rank Test -0.3
Price Variance 0.29
Lagged Price Variance 0.55

International Business Lagged Returns

 Regressed Prices 
      Timeline 

International Business Performance vs DOW

The median price of International Business for the period between Sat, Aug 26, 2017 and Mon, Sep 25, 2017 is 144.08 with a coefficient of variation of 0.87. The daily time series for the period is distributed with a sample standard deviation of 1.25, arithmetic mean of 144.02, and mean deviation of 1.09. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Acquisition by Kenneth Keverian of tradable shares of Intern...09/01/2017
2
IBM Shareholders Need Employee Enthusiasm, Engagement And Pa...09/22/2017