International Business Backtesting

IBM -- USA Stock  

Earnings Call : Today

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
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Backtest

International Business 'What if' Analysis

July 18, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 16, 2019
0.00
If you would invest  0.00  in International Business on July 18, 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 Deviation1.68
Information Ratio0.0183
Maximum Drawdown9.0
Value At Risk(2.83)
Potential Upside1.72

International Business Market Premium Indicators

Risk Adjusted Performance0.012
Jensen Alpha0.0299
Total Risk Alpha0.0394
Sortino Ratio0.0161
Treynor Ratio0.0028

International Business Backtested Returns

Macroaxis considers International Business to be very steady. International Business holds Efficiency (Sharpe) Ratio of -0.0385 which attests that the entity had -0.0385% 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 Downside Deviation of 1.68, Market Risk Adjusted Performance of 0.0128 and Risk Adjusted Performance of 0.012 to validate risk estimate we provide. The company retains Market Volatility (i.e. Beta) of 1.1214 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. 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 -0.0531%. 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(0.14) 
correlation synergy

Insignificant reverse predictability

International Business Machines has insignificant reverse predictability. Overlapping area represents the amount of predictability between International Business time series from July 18, 2019 to September 1, 2019 and September 1, 2019 to October 16, 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 -0.14 indicates that less than 14.0% 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-0.14
Spearman Rank Test-0.03
Residual Average0.0
Price Variance4.97

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 Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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