Aditya Birla (India) Backtesting

ABFRL -- India Stock  

INR 187.75  0.30  0.16%

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

Aditya Birla 'What if' Analysis

August 20, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 19, 2018
0.00
If you would invest  0.00  in Aditya Birla on August 20, 2018 and sell it all today you would earn a total of 0.00 from holding Aditya Birla Fashion and Retail Limited or generate 0.0% return on investment in Aditya Birla over 30 days. Aditya Birla is related to or competes with Housing Development, Housing Development, Infosys, Maruti Suzuki, Maruti Suzuki, Kotak Mahindra, and Kotak Mahindra. Aditya Birla Fashion and Retail Limited manufactures and distributes branded fashion apparel and accessories in India

Aditya Birla Upside/Downside Indicators

Downside Deviation2.62
Information Ratio0.0612
Maximum Drawdown11.28
Value At Risk2.47
Potential Upside4.19
  

Aditya Birla Market Premium Indicators

Risk Adjusted Performance0.0484
Jensen Alpha0.3479
Total Risk Alpha0.33
Sortino Ratio0.0551
Treynor Ratio0.19

Aditya Birla Fashion Backtested Returns

Macroaxis considers Aditya Birla to be not too risky. Aditya Birla Fashion secures Sharpe Ratio (or Efficiency) of -0.0255 which signifies that Aditya Birla Fashion had -0.0255% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. Aditya Birla Fashion and Retail Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Aditya Birla Fashion Downside Deviation of 2.62, Risk Adjusted Performance of 0.0484 and Mean Deviation of 1.64 to double-check risk estimate we provide. Macroaxis gives Aditya Birla performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -1.2161 which signifies that as returns on market increase, returns on owning Aditya Birla are expected to decrease by larger amounts. On the other hand, during market turmoil, Aditya Birla is expected to significantly outperform it.. Even though it is essential to pay attention to Aditya Birla Fashion historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing 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. Aditya Birla Fashion and Retail Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. Aditya Birla Fashion has expected return of -0.0563%. Please be advised to confirm Aditya Birla Fashion Information Ratio as well as the relationship between Potential Upside and Kurtosis to decide if Aditya Birla Fashion past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.59) 

Good reverse predictability

Aditya Birla Fashion and Retail Limited has good reverse predictability. Overlapping area represents the amount of predictability between Aditya Birla time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 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 Aditya Birla Fashion price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current Aditya Birla price fluctuation can be explain by its past prices. Given that Aditya Birla Fashion and Retail Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Aditya Birla for similar time interval.
Correlation Coefficient-0.59
Spearman Rank Test-0.26
Residual Average0.0
Price Variance29.13

Aditya Birla Fashion lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Aditya Birla regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Aditya Birla Lagged Returns

 Regressed Prices 
      Timeline 

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Aditya Birla Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Aditya Birla and Housing Development. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Aditya Birla Hype Analysis, Aditya Birla Correlation, Aditya Birla Valuation, Aditya Birla Volatility as well as analyze Aditya Birla Alpha and Beta and Aditya Birla Performance. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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