Vedanta Limited Backtested Returns
Macroaxis considers Vedanta Limited to be not too risky. Vedanta Limited
owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2045 which indicates Vedanta Limited
had -0.2045% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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
. Vedanta Limited exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vedanta Limited Coefficient Of Variation
of (378.39) and Risk Adjusted Performance of (0.13) to confirm risk estimate we provide. Macroaxis gives Vedanta Limited performance score of 0 on a scale of 0 to 100. The entity has beta of 0.1886 which indicates as returns on market increase, Vedanta Limited returns are expected to increase less than the market. However during bear market, the loss on holding Vedanta Limited will be expected to be smaller as well.. Even though it is essential to pay attention to Vedanta Limited current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring 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. Vedanta Limited exposes twenty-eight different technical indicators which can help you to evaluate its performance. Vedanta Limited has expected return of -0.3522%. Please be advised to validate Vedanta Limited Information Ratio, Total Risk Alpha and the relationship between Coefficient Of Variation and Jensen Alpha to decide if Vedanta Limited past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.12) |
Insignificant reverse predictability
Vedanta Limited has insignificant reverse predictability. Overlapping area represents the amount of predictability between Vedanta Limited time series from November 11, 2017 to November 26, 2017 and November 26, 2017 to December 11, 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 Vedanta Limited price movement. The serial correlation of -0.12 indicates that less than 12.0% of current Vedanta Limited price fluctuation can be explain by its past prices. Given that Vedanta Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Vedanta Limited for similar time interval.
|Correlation Coefficient|| -0.12|
|Spearman Rank Test|| -0.07|
|Price Variance|| 48.37|
|Lagged Price Variance|| 28.75|
Vedanta Limited Lagged Returns