International Business Backtesting

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IBM -- USA Stock  

 Earnings Call  Tomorrow

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 see 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
SymbolX
Backtest

International Business 'What if' Analysis

October 22, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
January 20, 2020
0.00
If you would invest  0.00  in International Business on October 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 Genpact, Broadridge Financial, Gartner, Digimarc, EPAM Systems, ExlService Holdings, and Accenture Plc. International Business Machines Corporation operates as an integrated technology and services company worldwide

International Business Upside/Downside Indicators

Information Ratio(0.17)
Maximum Drawdown5.52
Value At Risk(1.56)
Potential Upside1.17

International Business Market Premium Indicators

Risk Adjusted Performance(0.015909)
Jensen Alpha(0.16)
Total Risk Alpha(0.30)
Treynor Ratio(0.06)

International Business Backtested Returns

We consider International Business very steady. International Business holds Efficiency (Sharpe) Ratio of 0.0722 which attests that the entity had 0.0722% 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 Risk Adjusted Performance of (0.015909) and Market Risk Adjusted Performance of (0.05) to validate if risk estimate we provide are consistent with the epected return of 0.0543%. International Business has performance score of 4 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.8934 which attests that International Business returns are very sensitive to returns on the market. as market goes up or down, International Business is expected to follow. 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 0.0543% will be sustainable into the future. International Business right now retains a risk of 0.7523%. 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(0.22) 
correlation synergy

Weak reverse predictability

International Business Machines has weak reverse predictability. Overlapping area represents the amount of predictability between International Business time series from October 22, 2019 to December 6, 2019 and December 6, 2019 to January 20, 2020. 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 -0.22 indicates that over 22.0% of current International Business price fluctuation can be explain by its past prices. Given that International Business Machines has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of International Business for similar time interval.
Correlation Coefficient-0.22
Spearman Rank Test-0.01
Residual Average0.0
Price Variance2.0

International Business lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

International Business regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

International Business Lagged Returns

 Regressed Prices 
    
  Timeline 

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?
Bullish
Bearish
98% Bullish
2% Bearish
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Please also see 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.