International Business Machines Stock Market Value
| IBM Stock | 34.73 0.44 1.28% |
| Symbol | International |
International Business 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to International Business' stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of International Business.
| 01/06/2023 |
| 11/26/2024 |
If you would invest 0.00 in International Business on January 6, 2023 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 690 days. International Business is related to or competes with Telus Corp, Toronto Dominion, Manulife Financial, Canadian Natural, TC Energy, Athabasca Oil, and Bank of Nova Scotia. International Business is entity of Canada More
International Business Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure International Business' stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess International Business Machines upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.64 | |||
| Information Ratio | 0.0746 | |||
| Maximum Drawdown | 8.74 | |||
| Value At Risk | (1.80) | |||
| Potential Upside | 2.07 |
International Business Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for International Business' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as International Business' standard deviation. In reality, there are many statistical measures that can use International Business historical prices to predict the future International Business' volatility.| Risk Adjusted Performance | 0.1315 | |||
| Jensen Alpha | 0.1574 | |||
| Total Risk Alpha | 0.0052 | |||
| Sortino Ratio | 0.064 | |||
| Treynor Ratio | 0.4015 |
International Business Backtested Returns
International Business appears to be very steady, given 3 months investment horizon. International Business holds Efficiency (Sharpe) Ratio of 0.16, which attests that the entity had a 0.16% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for International Business, which you can use to evaluate the volatility of the firm. Please utilize International Business' Downside Deviation of 1.64, risk adjusted performance of 0.1315, and Market Risk Adjusted Performance of 0.4115 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, International Business holds a performance score of 12. The company retains a Market Volatility (i.e., Beta) of 0.56, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, International Business' returns are expected to increase less than the market. However, during the bear market, the loss of holding International Business is expected to be smaller as well. Please check International Business' treynor ratio, downside variance, kurtosis, as well as the relationship between the value at risk and expected short fall , to make a quick decision on whether International Business' current trending patterns will revert.
Auto-correlation | 0.56 |
Modest predictability
International Business Machines has modest predictability. Overlapping area represents the amount of predictability between International Business time series from 6th of January 2023 to 17th of December 2023 and 17th of December 2023 to 26th of November 2024. 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 0.56 indicates that roughly 56.0% of current International Business price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 9.76 |
International Business lagged returns against current returns
Autocorrelation, which is International Business stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting International Business' stock expected returns. We can calculate the autocorrelation of International Business returns to help us make a trade decision. For example, suppose you find that International Business has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
International Business regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If International Business stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if International Business stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in International Business stock over time.
Current vs Lagged Prices |
| Timeline |
International Business Lagged Returns
When evaluating International Business' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of International Business stock have on its future price. International Business autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, International Business autocorrelation shows the relationship between International Business stock current value and its past values and can show if there is a momentum factor associated with investing in International Business Machines.
Regressed Prices |
| Timeline |
Pair Trading with International Business
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if International Business position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in International Business will appreciate offsetting losses from the drop in the long position's value.Moving together with International Stock
The ability to find closely correlated positions to International Business could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace International Business when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back International Business - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling International Business Machines to buy it.
The correlation of International Business is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as International Business moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if International Business moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for International Business can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out International Business Correlation, International Business Volatility and International Business Alpha and Beta module to complement your research on International Business. You can also try the Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
International Business technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.