Capacite Infraprojects (India) Backtesting

CAPACITE -- India Stock  

INR 245.05  3.75  1.51%

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

August 25, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 24, 2018
0.00
If you would invest  0.00  in Capacite Infraprojects on August 25, 2018 and sell it all today you would earn a total of 0.00 from holding Capacite Infraprojects Limited or generate 0.0% return on investment in Capacite Infraprojects over 30 days. Capacite Infraprojects is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. Capacite Infraprojects Limited engages in the construction business in India

Capacite Infraprojects Upside/Downside Indicators

Information Ratio0.40
Maximum Drawdown5.74
Value At Risk1.94
Potential Upside1.25
  

Capacite Infraprojects Market Premium Indicators

Risk Adjusted Performance0.12
Jensen Alpha0.31
Total Risk Alpha0.71
Treynor Ratio1.88

Capacite Infraprojects Backtested Returns

Macroaxis considers Capacite Infraprojects to be not too risky. Capacite Infraprojects secures Sharpe Ratio (or Efficiency) of -0.2781 which signifies that Capacite Infraprojects had -0.2781% 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. Capacite Infraprojects Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Capacite Infraprojects Risk Adjusted Performance of 0.12 and Mean Deviation of 0.7168 to double-check risk estimate we provide. Macroaxis gives Capacite Infraprojects performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.1786 which signifies that as returns on market increase, returns on owning Capacite Infraprojects are expected to decrease at a much smaller rate. During bear market, Capacite Infraprojects is likely to outperform the market.. Even though it is essential to pay attention to Capacite Infraprojects 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. Capacite Infraprojects Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. Capacite Infraprojects has expected return of -0.3483%. Please be advised to confirm Capacite Infraprojects Maximum Drawdown, Semi Variance and the relationship between Jensen Alpha and Potential Upside to decide if Capacite Infraprojects past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.60 

Good predictability

Capacite Infraprojects Limited has good predictability. Overlapping area represents the amount of predictability between Capacite Infraprojects time series from August 25, 2018 to September 9, 2018 and September 9, 2018 to September 24, 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 Capacite Infraprojects price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current Capacite Infraprojects price fluctuation can be explain by its past prices.
Correlation Coefficient0.6
Spearman Rank Test0.63
Residual Average0.0
Price Variance10.99

Capacite Infraprojects lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Capacite Infraprojects regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Capacite Infraprojects Lagged Returns

 Regressed Prices 
      Timeline 

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Capacite Infraprojects Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Capacite Infraprojects 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 Capacite Infraprojects Hype Analysis, Capacite Infraprojects Correlation, Capacite Infraprojects Valuation, Capacite Infraprojects Volatility as well as analyze Capacite Infraprojects Alpha and Beta and Capacite Infraprojects 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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