Genpact Limited Backtested Returns
Macroaxis considers Genpact Limited not too risky given 1 month investment horizon. Genpact Limited
holds Efficiency (Sharpe) Ratio of 0.5829 which attests that Genpact Limited
had 0.5829% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for Genpact Limited which you can use to evaluate future volatility of the corporation. Please utilize Genpact Limited Market Risk Adjusted Performance
of (2.57) and Risk Adjusted Performance of 0.1432 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Genpact Limited holds performance score of 39. The company retains Market Volatility (i.e. Beta) of -0.0905 which attests that as returns on market increase, returns on owning Genpact Limited are expected to decrease at a much smaller rate. During bear market, Genpact Limited is likely to outperform the market.. Although it is extremely important to respect Genpact Limited 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 Genpact Limited technical indicators you can presently evaluate if the expected return of 0.2418% will be sustainable into the future. Please utilizes Genpact Limited Maximum Drawdown, and the relationship between Information Ratio and Downside Variance to make a quick decision on weather Genpact Limited current trending patternss will revert.
|15 days auto-correlation|| 0.85 |
Very good predictability
Genpact Limited has very good predictability. Overlapping area represents the amount of predictability between Genpact Limited time series from September 17, 2017 to October 2, 2017 and October 2, 2017 to October 17, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Genpact Limited price movement. The serial correlation of 0.85 indicates that around 85.0% of current Genpact Limited price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.85|
|Spearman Rank Test|| 0.9|
|Price Variance|| 0.04|
|Lagged Price Variance|| 0.08|
Genpact Limited Lagged Returns