Intel Backtesting

Intel Corporation -- USA Stock  

USD 44.65  0.1  0.22%

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

October 26, 2017
No Change 0.00  0.0%
In 30 days
November 25, 2017
If you would invest  0.00  in Intel on October 26, 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 volatile given 1 month investment horizon. Intel holds Efficiency (Sharpe) Ratio of 0.199 which attests that Intel had 0.199% 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 Intel which you can use to evaluate future volatility of the corporation. Please utilize Intel Downside Deviation of 1.22, Market Risk Adjusted Performance of 0.2107 and Risk Adjusted Performance of 0.086 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Intel holds performance score of 13. The company retains Market Volatility (i.e. Beta) of 2.146 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 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 0.3952% 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(0.64) 

Very good reverse predictability

Intel Corporation has very good reverse predictability. Overlapping area represents the amount of predictability between Intel time series from October 26, 2017 to November 10, 2017 and November 10, 2017 to November 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 Intel price movement. The serial correlation of -0.64 indicates that roughly 64.0% of current Intel price fluctuation can be explain by its past prices. Given that Intel Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Intel for similar time interval.
Correlation Coefficient -0.64
Spearman Rank Test -0.73
Price Variance 0.24
Lagged Price Variance 2.89

Intel Lagged Returns

 Regressed Prices 

Intel Performance vs DOW

The median price of Intel for the period between Thu, Oct 26, 2017 and Sat, Nov 25, 2017 is 45.58 with a coefficient of variation of 3.53. The daily time series for the period is distributed with a sample standard deviation of 1.6, arithmetic mean of 45.22, and mean deviation of 1.14. The Stock received some media coverage during the period.
November 6, 2017Intel Dividend Paid
Price Growth (%)  
Taking a Fresh Look at Intel Corporation11/24/2017