International Business Backtesting

IBM -- USA Stock  

USD 141.88  1.09  0.76%

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

International Business 'What if' Analysis

June 22, 2019
No Change 0.00  0.0%
In 3 months and 1 day
September 20, 2019
If you would invest  0.00  in International Business on June 22, 2019 and sell it all today you would earn a total of 0.00 from holding International Business Machines or generate 0.0% return on investment in International Business over 90 days. International Business is related to or competes with Gartner, Digimarc, EPAM Systems, Accenture plc, CDW, Computer Task, and DXC Technology. International Business Machines Corporation operates as an integrated technology and services company worldwide

International Business Upside/Downside Indicators

Downside Deviation1.69
Information Ratio0.0359
Maximum Drawdown9.0
Value At Risk(2.83)
Potential Upside1.72

International Business Market Premium Indicators

Risk Adjusted Performance0.0538
Jensen Alpha0.0483
Total Risk Alpha0.0404
Sortino Ratio0.0304
Treynor Ratio0.0601

International Business Backtested Returns

We consider International Business very steady. International Business holds Efficiency (Sharpe) Ratio of 0.0394 which attests that the entity had 0.0394% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for International Business which you can use to evaluate future volatility of the corporation. Please check out International Business Market Risk Adjusted Performance of 0.0701, Downside Deviation of 1.69 and Risk Adjusted Performance of 0.0538 to validate if risk estimate we provide are consistent with the epected return of 0.0572%. International Business has performance score of 2 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 1.1602 which attests that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, International Business will likely underperform. Although it is extremely important to respect International Business 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 International Business technical indicators you can presently evaluate if the expected return of 0.0572% will be sustainable into the future. International Business right now retains a risk of 1.4535%. Please check out International Business Information Ratio, Value At Risk as well as the relationship between Value At Risk and Expected Short fall to decide if International Business will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.45 
correlation synergy

Average predictability

International Business Machines has average predictability. Overlapping area represents the amount of predictability between International Business time series from June 22, 2019 to August 6, 2019 and August 6, 2019 to September 20, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of International Business price movement. The serial correlation of 0.45 indicates that just about 45.0% of current International Business price fluctuation can be explain by its past prices.
Correlation Coefficient0.45
Spearman Rank Test0.25
Residual Average0.0
Price Variance20.69

International Business lagged returns against current returns

 Current and Lagged Values 

International Business regressed lagged prices vs. current prices

 Current vs Lagged Prices 

International Business Lagged Returns

 Regressed Prices 

Current Sentiment - IBM

International Business Investor Sentiment

Predominant part of Macroaxis users are currently bullish on International Business Machines. What is your judgment towards investing in International Business Machines? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please also check International Business Hype Analysis, International Business Correlation, International Business Valuation, International Business Volatility as well as analyze International Business Alpha and Beta and International Business Performance. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.