Intuit Inc Backtested Returns
Macroaxis considers Intuit not too risky given 1 month investment horizon. Intuit Inc
holds Efficiency (Sharpe) Ratio of 0.3477 which attests that Intuit Inc
had 0.3477% 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 Intuit Inc which you can use to evaluate future volatility of the corporation. Please utilize Intuit Downside Deviation
of 0.6486, Market Risk Adjusted Performance
of (0.44) and Risk Adjusted Performance of 0.1032 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Intuit holds performance score of 22. The company retains Market Volatility (i.e. Beta) of -0.392 which attests that as returns on market increase, returns on owning Intuit are expected to decrease at a much smaller rate. During bear market, Intuit is likely to outperform the market.. Although it is vital to follow to Intuit Inc 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 Intuit Inc technical indicators you can presently evaluate if the expected return of 0.2981% will be sustainable into the future. Please utilizes Intuit Information Ratio and Downside Variance to make a quick decision on weather Intuit Inc current trending patterns will revert.
|15 days auto-correlation|| 0.75 |
Intuit Inc has good predictability. Overlapping area represents the amount of predictability between Intuit time series from December 21, 2017 to January 5, 2018 and January 5, 2018 to January 20, 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 Intuit Inc price movement. The serial correlation of 0.75 indicates that around 75.0% of current Intuit price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.75|
|Spearman Rank Test|| 0.22|
|Price Variance|| 1.86|
|Lagged Price Variance|| 3.48|
Intuit Lagged Returns