International Business Backtesting

IBM -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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
SymbolX
Backtest

International Business 'What if' Analysis

September 12, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 11, 2019
0.00
If you would invest  0.00  in International Business on September 12, 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(0.16)
Maximum Drawdown7.05
Value At Risk(1.56)
Potential Upside1.21

International Business Market Premium Indicators

Risk Adjusted Performance(0.06)
Jensen Alpha(0.17)
Total Risk Alpha(0.21)
Treynor Ratio(0.16)

International Business Backtested Returns

Macroaxis considers International Business to be very steady. International Business holds Efficiency (Sharpe) Ratio of -0.0973 which attests that the entity had -0.0973% of return per unit of risk over the last 3 months. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. International Business exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out International Business Market Risk Adjusted Performance of (0.15) and Risk Adjusted Performance of (0.06) to validate risk estimate we provide. The company retains Market Volatility (i.e. Beta) of 0.807 which attests that as returns on market increase, International Business returns are expected to increase less than the market. However during bear market, the loss on holding International Business will be expected to be smaller as well. Even though it is essential to pay attention to International Business current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. International Business exposes twenty-one different technical indicators which can help you to evaluate its performance. International Business has expected return of -0.1052%. Please be advised to 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 past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.55 
correlation synergy

Modest predictability

International Business Machines has modest predictability. Overlapping area represents the amount of predictability between International Business time series from September 12, 2019 to October 27, 2019 and October 27, 2019 to December 11, 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 0.55 indicates that about 55.0% of current International Business price fluctuation can be explain by its past prices.
Correlation Coefficient0.55
Spearman Rank Test0.31
Residual Average0.0
Price Variance2.96

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 

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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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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