Intel Backtesting

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INTC -- USA Stock  

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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 see 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 21, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 19, 2020
If you would invest  0.00  in Intel on October 21, 2019 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 90 days. Intel is related to or competes with Diodes Incorporated, Cypress Semiconductor, ASE Technology, EMCORE, Analog Devices, ON Semiconductor, and DSP. Intel Corporation offers computing, networking, data storage, and communication solutions worldwide

Intel Upside/Downside Indicators

Downside Deviation0.843
Information Ratio0.0417
Maximum Drawdown10.86
Value At Risk(1.12)
Potential Upside1.71

Intel Market Premium Indicators

Risk Adjusted Performance0.076
Jensen Alpha0.2103
Total Risk Alpha(0.18)
Sortino Ratio0.0651
Treynor Ratio(1.02)

Intel Backtested Returns

Macroaxis considers Intel very steady given 3 months investment horizon. Intel holds Efficiency (Sharpe) Ratio of 0.1678 which attests that the entity had 0.1678% of return per unit of risk over the last 3 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-one technical indicators for Intel which you can use to evaluate future volatility of the corporation. Please utilize Intel Market Risk Adjusted Performance of (1.01), Risk Adjusted Performance of 0.076 and Downside Deviation of 0.843 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Intel holds performance score of 11. The company retains Market Volatility (i.e. Beta) of -0.1823 which attests that as returns on market increase, returns on owning Intel are expected to decrease at a much smaller rate. During bear market, Intel is likely to outperform the market. 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 0.2211% will be sustainable into the future. Please utilizes Intel Information Ratio, Value At Risk as well as the relationship between Value At Risk and Expected Short fall to make a quick decision on weather Intel Corporation current trending patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.80 
correlation synergy

Very good predictability

Intel Corporation has very good predictability. Overlapping area represents the amount of predictability between Intel time series from October 21, 2019 to December 5, 2019 and December 5, 2019 to January 19, 2020. 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 0.8 indicates that around 80.0% of current Intel price fluctuation can be explain by its past prices.
Correlation Coefficient0.8
Spearman Rank Test0.51
Residual Average0.0
Price Variance1.58

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 see Intel Hype Analysis, Intel Correlation, Intel Valuation, Intel Volatility as well as analyze Intel Alpha and Beta and Intel Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.