Infosys Limited Backtested Returns
Macroaxis considers Infosys Limited not too volatile given 1 month investment horizon. Infosys Limited
holds Efficiency (Sharpe) Ratio of 0.244 which attests that Infosys Limited
had 0.244% 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 Infosys Limited which you can use to evaluate future volatility of the corporation. Please utilize Infosys Limited Downside Deviation
of 0.7582, Market Risk Adjusted Performance
of 1.43 and Risk Adjusted Performance of 0.2626 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Infosys Limited holds performance score of 16. The company retains Market Volatility (i.e. Beta) of -0.1239 which attests that as returns on market increase, returns on owning Infosys Limited are expected to decrease at a much smaller rate. During bear market, Infosys Limited is likely to outperform the market.. Although it is extremely important to respect Infosys 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 Infosys Limited technical indicators you can presently evaluate if the expected return of 0.2013% will be sustainable into the future. Please utilizes Infosys Limited Mean Deviation, Information Ratio as well as the relationship between Information Ratio and Downside Variance to make a quick decision on weather Infosys Limited current trending patterns will revert.
|15 days auto-correlation||(0.20) |
Insignificant reverse predictability
Infosys Limited has insignificant reverse predictability. Overlapping area represents the amount of predictability between Infosys Limited time series from February 16, 2018 to March 3, 2018 and March 3, 2018 to March 18, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Infosys Limited price movement. The serial correlation of -0.2 indicates that over 20.0% of current Infosys Limited price fluctuation can be explain by its past prices. Given that Infosys Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Infosys Limited for similar time interval.
|Correlation Coefficient|| -0.2|
|Spearman Rank Test|| 0.15|
|Price Variance|| 0.03|
|Lagged Price Variance|| 0.02|
Infosys Limited Lagged Returns