Intel Backtesting

INTC -- USA Stock  

USD 47.83  0.62  1.31%

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.
Horizon     30 Days    Login   to change

Intel 'What if' Analysis

October 13, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 12, 2018
If you would invest  0.00  in Intel on October 13, 2018 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 60 days. Intel is related to or competes with Diodes Incorporated, Aquantia Corp, Cypress Semiconductor, MagnaChip Semiconductor, ON Semiconductor, DSP, and EMCORE. Intel Corporation designs, manufactures, and sells computer, networking, data storage, and communication platforms world...

Intel Upside/Downside Indicators

Downside Deviation2.53
Information Ratio0.0988
Maximum Drawdown9.95
Value At Risk(4.51)
Potential Upside3.38

Intel Market Premium Indicators

Risk Adjusted Performance0.0558
Jensen Alpha0.3101
Total Risk Alpha0.3871
Sortino Ratio0.0988
Treynor Ratio0.0614

Intel Backtested Returns

Macroaxis considers Intel not too volatile given 2 months investment horizon. Intel holds Efficiency (Sharpe) Ratio of 0.0841 which attests that Intel had 0.0841% of return per unit of risk over the last 2 months. 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-eight technical indicators for Intel which you can use to evaluate future volatility of the corporation. Please utilize Intel Downside Deviation of 2.53, Market Risk Adjusted Performance of 0.0714 and Risk Adjusted Performance of 0.0558 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Intel holds performance score of 5. The company retains Market Volatility (i.e. Beta) of 1.3645 which attests that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Intel will likely underperform.. Although it is extremely important to respect Intel 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 Intel technical indicators you can presently evaluate if the expected return of 0.209% will be sustainable into the future. Please utilizes Intel Expected Short fall, and the relationship between Value At Risk and Daily Balance Of Power to make a quick decision on weather Intel Corporation current trending patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.21 
correlation synergy

Weak predictability

Intel Corporation has weak predictability. Overlapping area represents the amount of predictability between Intel time series from October 13, 2018 to November 12, 2018 and November 12, 2018 to December 12, 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 Intel price movement. The serial correlation of 0.21 indicates that over 21.0% of current Intel price fluctuation can be explain by its past prices.
Correlation Coefficient0.21
Spearman Rank Test0.08
Residual Average0.0
Price Variance0.88

Intel lagged returns against current returns

 Current and Lagged Values 

Intel regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Intel Lagged Returns

 Regressed Prices 

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Please also check Intel Hype Analysis, Intel Correlation, Intel Valuation, Intel Volatility as well as analyze Intel Alpha and Beta and Intel Performance. Please also try Cryptocurrency Correlation module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins and exchanges.