Aditya Birla (India) Backtesting

ABFRL -- India Stock  

INR 203.25  1.50  0.01%

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
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Aditya Birla 'What if' Analysis

November 23, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
January 22, 2019
0.00
If you would invest  0.00  in Aditya Birla on November 23, 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 60 days. Aditya Birla is related to or competes with Page Industries, Page Industries, K P, K P, Lux Industries, and Rupa Company. Aditya Birla Fashion and Retail Limited manufactures and distributes branded fashion apparel and accessories in India

Aditya Birla Upside/Downside Indicators

Downside Deviation1.47
Information Ratio0.1159
Maximum Drawdown12.18
Value At Risk(2.56)
Potential Upside2.85
  

Aditya Birla Market Premium Indicators

Risk Adjusted Performance0.1807
Jensen Alpha0.1777
Total Risk Alpha0.2395
Sortino Ratio0.161
Treynor Ratio(5.72)

Aditya Birla Fashion Backtested Returns

Macroaxis considers Aditya Birla not too risky given 2 months investment horizon. Aditya Birla Fashion secures Sharpe Ratio (or Efficiency) of 0.1112 which signifies that the organization had 0.1112% of return per unit of risk over the last 2 months. Our philosophy towards foreseeing 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 Aditya Birla Fashion and Retail Limited which you can use to evaluate future volatility of the firm. Please makes use of Aditya Birla Fashion Mean Deviation of 1.28, Downside Deviation of 1.47 and Risk Adjusted Performance of 0.1807 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Aditya Birla holds performance score of 7. The firm shows Beta (market volatility) of -0.0314 which signifies that as returns on market increase, returns on owning Aditya Birla are expected to decrease at a much smaller rate. During bear market, Aditya Birla is likely to outperform the market. Although it is extremely important to respect Aditya Birla Fashion historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Aditya Birla Fashion technical indicators you can presently evaluate if the expected return of 0.247% will be sustainable into the future. Please makes use of Aditya Birla Fashion Information Ratio as well as the relationship between Potential Upside and Kurtosis to make a quick decision on weather Aditya Birla price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.04 
correlation synergy

Virtually no predictability

Aditya Birla Fashion and Retail Limited has virtually no predictability. Overlapping area represents the amount of predictability between Aditya Birla time series from November 23, 2018 to December 23, 2018 and December 23, 2018 to January 22, 2019. 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 0.04 indicates that only as little as 4.0% of current Aditya Birla price fluctuation can be explain by its past prices.
Correlation Coefficient0.04
Spearman Rank Test0.4
Residual Average0.0
Price Variance17.51

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 Page Industries. 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 Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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