Infosys Limited Backtested Returns
Macroaxis considers Infosys Limited to be not too volatile. Infosys Limited
holds Efficiency (Sharpe) Ratio of -0.0692 which attests that Infosys Limited
had -0.0692% of return per unit of risk over the last 1 month. 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
. Infosys Limited exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Infosys Limited Market Risk Adjusted Performance
of (0.005828) and Risk Adjusted Performance of 0.006 to validate risk estimate we provide. Macroaxis gives Infosys Limited performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.9827 which attests that Infosys Limited returns are very sensitive to returns on the market. as market goes up or down, Infosys Limited is expected to follow.. Even though it is essential to pay attention to Infosys Limited 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. Infosys Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. Infosys Limited has expected return of -0.0611%. Please be advised to check out Infosys Limited Mean Deviation, Information Ratio as well as the relationship between Information Ratio and Downside Variance to decide if Infosys Limited past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.42) |
Modest reverse predictability
Infosys Limited has modest reverse predictability. Overlapping area represents the amount of predictability between Infosys Limited time series from September 16, 2017 to October 1, 2017 and October 1, 2017 to October 16, 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 Infosys Limited price movement. The serial correlation of -0.42 indicates that just about 42.0% 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|| -0.42|
|Spearman Rank Test|| -0.33|
|Price Variance|| 0.01|
|Lagged Price Variance|| 0.04|
Infosys Limited Lagged Returns