Vedanta (India) Backtesting

VEDL -- India Stock  

INR 230.45  0.05  0.0217%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Vedanta Limited and determine expected loss or profit from investing in Vedanta over given investment horizon. Also please take a look at Vedanta Hype Analysis, Vedanta Correlation, Vedanta Valuation, Vedanta Volatility as well as analyze Vedanta Alpha and Beta and Vedanta Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Vedanta 'What if' Analysis

August 27, 2018
0.00
No Change 0.00  0.0%
In 30 days
September 26, 2018
0.00
If you would invest  0.00  in Vedanta on August 27, 2018 and sell it all today you would earn a total of 0.00 from holding Vedanta Limited or generate 0.0% return on investment in Vedanta over 30 days. Vedanta is related to or competes with Vedanta, Gujarat Mineral, Sandur Manganese, and Metkore Alloys. Vedanta Limited operates as a diversified natural resources company in India

Vedanta Upside/Downside Indicators

Downside Deviation1.91
Information Ratio0.1523
Maximum Drawdown7.68
Value At Risk2.31
Potential Upside3.96
  

Vedanta Market Premium Indicators

Risk Adjusted Performance0.0908
Jensen Alpha0.3546
Total Risk Alpha0.1073
Sortino Ratio0.1502
Treynor Ratio1.65

Vedanta Limited Backtested Returns

We consider Vedanta not too risky. Vedanta Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.066 which indicates Vedanta Limited had 0.066% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Vedanta Limited which you can use to evaluate future volatility of the company. Please validate Vedanta Semi Deviation of 1.1, Coefficient Of Variation of 534.75 and Risk Adjusted Performance of 0.0908 to confirm if risk estimate we provide are consistent with the epected return of 0.1167%. Vedanta has performance score of 4 on a scale of 0 to 100. The entity has beta of -0.2084 which indicates as returns on market increase, returns on owning Vedanta are expected to decrease at a much smaller rate. During bear market, Vedanta is likely to outperform the market.. Although it is extremely important to respect Vedanta Limited current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Vedanta Limited technical indicators you can presently evaluate if the expected return of 0.1167% will be sustainable into the future. Vedanta Limited right now has a risk of 1.7689%. Please validate Vedanta Downside Deviation, Standard Deviation, Information Ratio, as well as the relationship between Coefficient Of Variation and Variance to decide if Vedanta will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.33 

Below average predictability

Vedanta Limited has below average predictability. Overlapping area represents the amount of predictability between Vedanta time series from August 27, 2018 to September 11, 2018 and September 11, 2018 to September 26, 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 Vedanta Limited price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current Vedanta price fluctuation can be explain by its past prices.
Correlation Coefficient0.33
Spearman Rank Test-0.24
Residual Average0.0
Price Variance10.02

Vedanta Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Vedanta regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Vedanta Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Vedanta Hype Analysis, Vedanta Correlation, Vedanta Valuation, Vedanta Volatility as well as analyze Vedanta Alpha and Beta and Vedanta Performance. Please also try Coins and Tokens Correlation module to utilize digital token correlation table to build portfolio of cryptocurrencies across multiple exchanges.
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