Ingersoll Rand Backtesting

IR -- USA Stock  

USD 91.80  0.54  0.59%

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.
 Time Horizon     30 Days    Login   to change

Ingersoll Rand 'What if' Analysis

June 19, 2018
No Change 0.00  0.0%
In 31 days
July 19, 2018
If you would invest  0.00  in Ingersoll Rand on June 19, 2018 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 Barnes, Ampco Pittsburgh, Crane, Curtiss Wright, General Electric, Hillenbrand, and INGERSOLL RAND. Ingersoll-Rand plc designs, manufactures, sells, and services industrial and commercial products

Ingersoll Rand Upside/Downside Indicators

Downside Deviation1.1
Information Ratio0.1
Maximum Drawdown4.42
Value At Risk1.20
Potential Upside1.3

Ingersoll Rand Market Premium Indicators

Risk Adjusted Performance0.0301
Jensen Alpha0.00298
Total Risk Alpha0.18
Sortino Ratio0.09
Treynor Ratio0.12

Ingersoll Rand Plc Backtested Returns

We consider Ingersoll Rand not too risky. Ingersoll Rand Plc holds Efficiency (Sharpe) Ratio of 0.0435 which attests that Ingersoll Rand Plc had 0.0435% 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 1.1, Market Risk Adjusted Performance of 0.13 and Risk Adjusted Performance of 0.0301 to validate if risk estimate we provide are consistent with the epected return of 0.0436%. Ingersoll Rand has performance score of 2 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.2798 which attests that as returns on market increase, Ingersoll Rand returns are expected to increase less than the market. However during bear market, the loss on holding Ingersoll Rand will be expected to be smaller as well.. 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 0.0436% will be sustainable into the future. Ingersoll Rand Plc right now retains a risk of 1.0012%. 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.07 

Virtually no predictability

Ingersoll Rand Plc has virtually no predictability. Overlapping area represents the amount of predictability between Ingersoll Rand time series from June 19, 2018 to July 4, 2018 and July 4, 2018 to July 19, 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 0.07 indicates that barely 7.0% of current Ingersoll Rand price fluctuation can be explain by its past prices.
Correlation Coefficient 0.07
Spearman Rank Test -0.1
Price Variance 0.66
Lagged Price Variance 0.53

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 Lagged Returns

 Regressed Prices 

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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. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.