Ingersoll Rand Plc Backtested Returns
We consider Ingersoll Rand not too risky. Ingersoll Rand Plc
holds Efficiency (Sharpe) Ratio of 0.1098 which attests that Ingersoll Rand Plc
had 0.1098% 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 Ingersoll Rand Plc which you can use to evaluate future volatility of the corporation. Please check out Ingersoll Rand Downside Deviation
of 0.6579, Market Risk Adjusted Performance
of (9.74) and Risk Adjusted Performance of 0.1059 to validate if risk estimate we provide are consistent with the epected return of 0.0735%. Ingersoll Rand has performance score of 7 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.022 which attests that as returns on market increase, returns on owning Ingersoll Rand are expected to decrease at a much smaller rate. During bear market, Ingersoll Rand is likely to outperform the market.. Although it is extremely important to respect Ingersoll Rand Plc 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 Ingersoll Rand Plc technical indicators you can presently evaluate if the expected return of 0.0735% will be sustainable into the future. Ingersoll Rand Plc right now retains a risk of 0.6688%. Please check out Ingersoll Rand Information Ratio as well as the relationship between Potential Upside and Kurtosis to decide if Ingersoll Rand will be following its current trending patterns.
|15 days auto-correlation||(0.38) |
Poor reverse predictability
Ingersoll Rand Plc has poor reverse predictability. Overlapping area represents the amount of predictability between Ingersoll Rand time series from December 22, 2017 to January 6, 2018 and January 6, 2018 to January 21, 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 Ingersoll Rand Plc price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Ingersoll Rand price fluctuation can be explain by its past prices. Given that Ingersoll Rand Plc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Ingersoll Rand for similar time interval.
|Correlation Coefficient|| -0.38|
|Spearman Rank Test|| 0.6|
|Price Variance|| 0.29|
|Lagged Price Variance|| 0.23|
Ingersoll Rand Lagged Returns