Ingram Micro Inc Backtested Returns
We consider Ingram Micro not too risky. Ingram Micro Inc
holds Efficiency (Sharpe) Ratio of 0.0205 which attests that Ingram Micro Inc
had 0.0205% 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 Ingram Micro Inc which you can use to evaluate future volatility of the corporation. Please check out Ingram Micro Market Risk Adjusted Performance
of 1.42 and Risk Adjusted Performance
of (0.13) to validate if risk estimate we provide are consistent with the epected return of 0.017%. Ingram Micro has performance score of 1 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.1483 which attests that as returns on market increase, returns on owning Ingram Micro are expected to decrease at a much smaller rate. During bear market, Ingram Micro is likely to outperform the market.. Although it is extremely important to respect Ingram Micro Inc 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 Ingram Micro Inc technical indicators you can presently evaluate if the expected return of 0.017% will be sustainable into the future. Ingram Micro Inc right now retains a risk of 0.8304%. Please check out Ingram Micro Information Ratio as well as the relationship between Potential Upside and Kurtosis to decide if Ingram Micro will be following its current trending patterns.
|15 days auto-correlation|| 0.17 |
Very weak predictability
Ingram Micro Inc has very weak predictability. Overlapping area represents the amount of predictability between Ingram Micro time series from November 15, 2017 to November 30, 2017 and November 30, 2017 to December 15, 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 Ingram Micro Inc price movement. The serial correlation of 0.17 indicates that over 17.0% of current Ingram Micro price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.17|
|Spearman Rank Test|| -0.4|
|Price Variance|| 202.2|
|Lagged Price Variance|| 368.69|
Ingram Micro Lagged Returns