BATAINDIA Backtesting

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BATAINDIA -- India Stock  

INR 1,272  16.80  1.30%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of BATA INDIA LTD and determine expected loss or profit from investing in BATA INDIA over given investment horizon. Continue to BATA INDIA Hype Analysis, BATA INDIA Correlation, BATA INDIA Valuation, BATA INDIA Volatility as well as analyze BATA INDIA Alpha and Beta and BATA INDIA Performance.

BATA INDIA 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in BATA INDIA on April 15, 2020 and sell it all today you would earn a total of 0.00 from holding BATA INDIA LTD or generate 0.0% return on investment in BATA INDIA over 90 days. Bata India Limited manufactures and trades in footwear and accessories through its retail and wholesale network in India

BATA INDIA Upside/Downside Indicators

Downside Deviation3.49
Information Ratio0.044
Maximum Drawdown30.22
Value At Risk(3.44)
Potential Upside6.54

BATA INDIA Market Premium Indicators

Risk Adjusted Performance0.1559
Jensen Alpha0.2691
Total Risk Alpha0.0085
Sortino Ratio0.0485
Treynor Ratio1.05

BATA INDIA LTD Backtested Returns

We consider BATA INDIA very steady. BATA INDIA LTD secures Sharpe Ratio (or Efficiency) of 0.0385, which signifies that the company had 0.0385% of return per unit of volatility over the last 3 months. Our standpoint towards foreseeing the 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 BATA INDIA LTD, which you can use to evaluate future volatility of the entity. Please confirm BATA INDIA LTD coefficient of variation of 1198.44, market risk adjusted performance of 1.06, and mean deviation of 2.54 to double-check if the risk estimate we provide is consistent with the expected return of 0.0997%. BATA INDIA has performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.2958, which signifies not very significant fluctuations relative to the market. Let's try to break down what BATAINDIA's beta means in this case. As returns on the market increase, BATA INDIA returns are expected to increase less than the market. However, during the bear market, the loss on holding BATA INDIA will be expected to be smaller as well. Although it is extremely important to respect BATA INDIA LTD 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 examining BATA INDIA LTD technical indicators, you can right now evaluate if the expected return of 0.0997% will be sustainable into the future. BATA INDIA LTD at this time shows a risk of 2.59%. Please confirm BATA INDIA LTD treynor ratio, as well as the relationship between the potential upside and expected short fall to decide if BATA INDIA LTD will be following its price patterns.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.59) 
correlation synergy

Good reverse predictability

BATA INDIA LTD has good reverse predictability. Overlapping area represents the amount of predictability between BATA INDIA time series from 15th of April 2020 to 30th of May 2020 and 30th of May 2020 to 14th of July 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of BATA INDIA LTD price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current BATA INDIA price fluctuation can be explain by its past prices. Given that BATA INDIA LTD has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of BATA INDIA for similar time interval.
Correlation Coefficient-0.59
Spearman Rank Test-0.44
Residual Average0.0
Price Variance2205.06

BATA INDIA LTD lagged returns against current returns

 Current and Lagged Values 

BATA INDIA regressed lagged prices vs. current prices

 Current vs Lagged Prices 

BATA INDIA Lagged Returns

 Regressed Prices 

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BATA INDIA Pair Correlation

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Continue to BATA INDIA Hype Analysis, BATA INDIA Correlation, BATA INDIA Valuation, BATA INDIA Volatility as well as analyze BATA INDIA Alpha and Beta and BATA INDIA Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page