Intel Backtesting

Intel Corporation -- USA Stock  

USD 40.09  0.16  0.4%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Intel Corporation and determine expected loss or profit from investing in Intel over given investment horizon. Please also check Intel Hype Analysis, Intel Correlation, Intel Valuation, Intel Volatility as well as analyze Intel Alpha and Beta and Intel Performance
Investment Horizon     30 Days    Login   to change

Intel '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 Intel on September 20, 2017 and sell it all today you would earn a total of 0.00 from holding Intel Corporation or generate 0.0% return on investment in Intel over 30 days. Intel is related to or competes with Micron Technology, ON Semiconductor, Flex Ltd, Analog Devices, Advanced Micro, and Arrow Electronics. It operates through Client Computing Group, Data Center Group, Internet of Things Group, Software and Services, and All ...

Intel Upside/Downside Indicators


Intel Market Premium Indicators

Intel lagged returns against current returns

 Current and Lagged Values 

Intel regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Intel Backtested Returns

Macroaxis considers Intel not too risky given 1 month investment horizon. Intel holds Efficiency (Sharpe) Ratio of 0.4831 which attests that Intel had 0.4831% 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 technical indicators for Intel which you can use to evaluate future volatility of the corporation. Please utilize Intel Coefficient Of Variation of 201.55, Market Risk Adjusted Performance of 0.6953 and Risk Adjusted Performance of 0.1203 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Intel holds performance score of 32. The company retains Market Volatility (i.e. Beta) of 0.5094 which attests that as returns on market increase, Intel returns are expected to increase less than the market. However during bear market, the loss on holding Intel will be expected to be smaller as well.. Although it is vital to follow to Intel 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 Intel technical indicators you can presently evaluate if the expected return of 0.3435% will be sustainable into the future. Please utilizes Intel Jensen Alpha, Potential Upside as well as the relationship between Potential Upside and Skewness to make a quick decision on weather Intel Corporation current trending patternss will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.75 

Good predictability

Intel Corporation has good predictability. Overlapping area represents the amount of predictability between Intel 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 Intel price movement. The serial correlation of 0.75 indicates that around 75.0% of current Intel price fluctuation can be explain by its past prices.
Correlation Coefficient 0.75
Spearman Rank Test 0.73
Price Variance 0.09
Lagged Price Variance 0.87

Intel Lagged Returns

 Regressed Prices 

Intel Performance vs DOW

The median price of Intel for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 39.34 with a coefficient of variation of 2.88. The daily time series for the period is distributed with a sample standard deviation of 1.12, arithmetic mean of 38.82, and mean deviation of 1.0. The Stock received some media coverage during the period.
Price Growth (%)  
Exercise or conversion by Perlmutter David of 8375 shares of...10/18/2017