Vedanta Limited (India) Backtesting

Vedanta Limited -- India Stock  

INR 331.45  2.9  0.87%

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 Limited over given investment horizon. Also please take a look at Vedanta Limited Hype Analysis, Vedanta Limited Correlation, Vedanta Limited Valuation, Vedanta Limited Volatility as well as analyze Vedanta Limited Alpha and Beta and Vedanta Limited Performance
Investment Horizon     30 Days    Login   to change
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Backtest

Vedanta Limited 'What if' Analysis

September 18, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 18, 2017
 0.00 
If you would invest  0.00  in Vedanta Limited on September 18, 2017 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 Limited over 30 days. Vedanta Limited is related to or competes with Mercator Limited, Ashapura Minechem, Metkore Alloys, Lupin Limited, and MainStay International. VEDANTA LIMITED INR1 produces oil and gas, zinc, lead, silver, copper, iron ore, and aluminum

Vedanta Limited Upside/Downside Indicators

  

Vedanta Limited Market Premium Indicators

Vedanta Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Vedanta Limited regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Vedanta Limited Backtested Returns

We consider Vedanta Limited not too risky. Vedanta Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.068 which indicates Vedanta Limited had 0.068% 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 company specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Vedanta Limited which you can use to evaluate future volatility of the company. Please validate Vedanta Limited Semi Deviation of 1.57, Coefficient Of Variation of 876.35 and Risk Adjusted Performance of 0.035 to confirm if risk estimate we provide are consistent with the epected return of 0.1363%. Vedanta Limited has performance score of 4 on a scale of 0 to 100. The entity has beta of 2.7005 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Vedanta Limited will likely underperform.. 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 0.1363% will be sustainable into the future. Vedanta Limited right now has a risk of 2.0048%. Please validate Vedanta Limited Information Ratio, Total Risk Alpha and the relationship between Coefficient Of Variation and Jensen Alpha to decide if Vedanta Limited will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.28) 

Weak reverse predictability

Vedanta Limited has weak reverse predictability. Overlapping area represents the amount of predictability between Vedanta Limited time series from September 18, 2017 to October 3, 2017 and October 3, 2017 to October 18, 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 -0.28 indicates that nearly 28.0% 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 -0.28
Spearman Rank Test -0.24
Price Variance 47.03
Lagged Price Variance 44.77

Vedanta Limited Lagged Returns

 Regressed Prices 
      Timeline 

Vedanta Limited Performance vs BSE

The median price of Vedanta Limited for the period between Mon, Sep 18, 2017 and Wed, Oct 18, 2017 is 319.5 with a coefficient of variation of 2.38. The daily time series for the period is distributed with a sample standard deviation of 7.62, arithmetic mean of 319.47, and mean deviation of 5.78. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline