Ingersoll Rand Backtesting

Ingersoll Rand Plc -- USA Stock  

USD 91.08  2.43  2.6%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Ingersoll Rand Plc and determine expected loss or profit from investing in Ingersoll Rand over given investment horizon. Please also check Ingersoll Rand Hype Analysis, Ingersoll Rand Correlation, Ingersoll Rand Valuation, Ingersoll Rand Volatility as well as analyze Ingersoll Rand Alpha and Beta and Ingersoll Rand Performance
Investment Horizon     30 Days    Login   to change

Ingersoll Rand 'What if' Analysis

September 22, 2017
No Change 0.00  0.0%
In 31 days
October 22, 2017
If you would invest  0.00  in Ingersoll Rand on September 22, 2017 and sell it all today you would earn a total of 0.00 from holding Ingersoll Rand Plc or generate 0.0% return on investment in Ingersoll Rand over 30 days. Ingersoll Rand is related to or competes with Crane, Hyster Yale, Parker Hannifin, Deswell Industries, and A O. IngersollRand Plcs Climate segment offers building management, bus and rail HVAC, control, container and cryogenic refri...

Ingersoll Rand Upside/Downside Indicators


Ingersoll Rand Market Premium Indicators

Ingersoll Rand Plc lagged returns against current returns

 Current and Lagged Values 

Ingersoll Rand regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Ingersoll Rand Plc Backtested Returns

Macroaxis considers Ingersoll Rand not too risky given 1 month investment horizon. Ingersoll Rand Plc holds Efficiency (Sharpe) Ratio of 0.3234 which attests that Ingersoll Rand Plc had 0.3234% 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 technical indicators for Ingersoll Rand Plc which you can use to evaluate future volatility of the corporation. Please utilize Ingersoll Rand Coefficient Of Variation of 345.25, Market Risk Adjusted Performance of 0.1921 and Risk Adjusted Performance of 0.0849 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Ingersoll Rand holds performance score of 21. The company retains Market Volatility (i.e. Beta) of 1.1271 which attests that Ingersoll Rand returns are very sensitive to returns on the market. as market goes up or down, Ingersoll Rand is expected to follow.. 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 0.2426% will be sustainable into the future. Please utilizes Ingersoll Rand Downside Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Downside Variance to make a quick decision on weather Ingersoll Rand Plc current trending patternss will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.38 

Below average predictability

Ingersoll Rand Plc has below average predictability. Overlapping area represents the amount of predictability between Ingersoll Rand time series from September 22, 2017 to October 7, 2017 and October 7, 2017 to October 22, 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 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.
Correlation Coefficient 0.38
Spearman Rank Test -0.21
Price Variance 0.48
Lagged Price Variance 0.85

Ingersoll Rand Lagged Returns

 Regressed Prices 

Ingersoll Rand Performance vs DOW

The median price of Ingersoll Rand for the period between Fri, Sep 22, 2017 and Sun, Oct 22, 2017 is 91.08 with a coefficient of variation of 1.57. The daily time series for the period is distributed with a sample standard deviation of 1.42, arithmetic mean of 90.47, and mean deviation of 1.18. The Stock received some media coverage during the period.
Price Growth (%)  
Sit Investment Associates Inc. Cuts Position in Ingersoll-Ra...10/20/2017