BEML (India) Backtesting

BEML -- India Stock  

INR 770.85  34.35  4.66%

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

BEML 'What if' Analysis

August 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 21, 2018
0.00
If you would invest  0.00  in BEML on August 22, 2018 and sell it all today you would earn a total of 0.00 from holding BEML Limited or generate 0.0% return on investment in BEML over 30 days. BEML is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. BEML Limited provides products and services to the mining and construction, rail and metro, and defense and aerospace se...

BEML Upside/Downside Indicators

Information Ratio0.20
Maximum Drawdown7.27
Value At Risk4.46
Potential Upside2.25
  

BEML Market Premium Indicators

Risk Adjusted Performance0.05
Jensen Alpha0.30
Total Risk Alpha0.85
Treynor Ratio0.6946

BEML Limited Backtested Returns

Macroaxis considers BEML to be not too risky. BEML Limited secures Sharpe Ratio (or Efficiency) of -0.2506 which signifies that BEML Limited had -0.2506% of return per unit of return volatility over the last 1 month. Macroaxis approach into 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. BEML Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BEML Limited Risk Adjusted Performance of 0.05 and Mean Deviation of 1.57 to double-check risk estimate we provide. Macroaxis gives BEML performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.4903 which signifies that as returns on market increase, returns on owning BEML are expected to decrease at a much smaller rate. During bear market, BEML is likely to outperform the market.. Even though it is essential to pay attention to BEML Limited historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach into 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. BEML Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. BEML Limited has expected return of -0.539%. Please be advised to confirm BEML Limited Variance, Jensen Alpha and the relationship between Standard Deviation and Information Ratio to decide if BEML Limited past performance will be repeated in the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.52 

Modest predictability

BEML Limited has modest predictability. Overlapping area represents the amount of predictability between BEML time series from August 22, 2018 to September 6, 2018 and September 6, 2018 to September 21, 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 BEML Limited price movement. The serial correlation of 0.52 indicates that about 52.0% of current BEML price fluctuation can be explain by its past prices.
Correlation Coefficient0.52
Spearman Rank Test0.21
Residual Average0.0
Price Variance225.71

BEML Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

BEML regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

BEML Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run My Watchlist Analysis Now

   

My Watchlist Analysis

Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like
All  Next Launch My Watchlist Analysis

BEML Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for BEML 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
Run Pair Correlation  
Check also BEML Hype Analysis, BEML Correlation, BEML Valuation, BEML Volatility as well as analyze BEML Alpha and Beta and BEML Performance. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
Search macroaxis.com