Alkem Laboratories (India) Backtesting

ALKEM -- India Stock  

INR 2,084  15.60  0.75%

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

August 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 22, 2018
0.00
If you would invest  0.00  in Alkem Laboratories on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding Alkem Laboratories Limited or generate 0.0% return on investment in Alkem Laboratories over 30 days. Alkem Laboratories is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. Alkem Laboratories Limited develops, manufactures, and sells pharmaceutical and nutraceutical products in India and inte...

Alkem Laboratories Upside/Downside Indicators

Downside Deviation2.41
Information Ratio0.015742
Maximum Drawdown8.44
Value At Risk2.73
Potential Upside4.0
  

Alkem Laboratories Market Premium Indicators

Risk Adjusted Performance0.0405
Jensen Alpha0.2896
Total Risk Alpha0.60
Sortino Ratio0.0131
Treynor Ratio0.14

Alkem Laboratories Backtested Returns

We consider Alkem Laboratories not too risky. Alkem Laboratories secures Sharpe Ratio (or Efficiency) of 0.0203 which signifies that Alkem Laboratories had 0.0203% of return per unit of risk over the last 1 month. 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 Alkem Laboratories Limited which you can use to evaluate future volatility of the firm. Please confirm Alkem Laboratories Downside Deviation of 2.41, Risk Adjusted Performance of 0.0405 and Mean Deviation of 1.38 to double-check if risk estimate we provide are consistent with the epected return of 0.0408%. Alkem Laboratories has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.9336 which signifies that . Although it is extremely important to respect Alkem Laboratories 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 Alkem Laboratories technical indicators you can presently evaluate if the expected return of 0.0408% will be sustainable into the future. Alkem Laboratories right now shows a risk of 2.0147%. Please confirm Alkem Laboratories Variance as well as the relationship between Maximum Drawdown and Semi Variance to decide if Alkem Laboratories will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.72) 

Almost perfect reverse predictability

Alkem Laboratories Limited has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Alkem Laboratories time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 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 Alkem Laboratories price movement. The serial correlation of -0.72 indicates that around 72.0% of current Alkem Laboratories price fluctuation can be explain by its past prices. Given that Alkem Laboratories Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alkem Laboratories for similar time interval.
Correlation Coefficient-0.72
Spearman Rank Test-0.03
Residual Average0.0
Price Variance775.85

Alkem Laboratories lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alkem Laboratories regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alkem Laboratories Lagged Returns

 Regressed Prices 
      Timeline 

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Alkem Laboratories Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Alkem Laboratories and Tata Consultancy Ser. 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 Alkem Laboratories Hype Analysis, Alkem Laboratories Correlation, Alkem Laboratories Valuation, Alkem Laboratories Volatility as well as analyze Alkem Laboratories Alpha and Beta and Alkem Laboratories Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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