Chambal Breweries (India) Backtesting

CHMBBRW -- India Stock  

INR 1.80  0.00  0.00%

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

Chambal Breweries 'What if' Analysis

August 26, 2018
No Change 0.00  0.0%
In 31 days
September 25, 2018
If you would invest  0.00  in Chambal Breweries on August 26, 2018 and sell it all today you would earn a total of 0.00 from holding Chambal Breweries Distilleries Ltd or generate 0.0% return on investment in Chambal Breweries over 30 days. Chambal Breweries is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. Chambal Breweries Distilleries Limited trades in and retails IMFL, beer, and country liquor

Chambal Breweries Upside/Downside Indicators

Information Ratio0.010047
Maximum Drawdown12.09
Value At Risk4.97
Potential Upside7.84

Chambal Breweries Market Premium Indicators

Risk Adjusted Performance0.0238
Jensen Alpha0.14
Total Risk Alpha1.08
Treynor Ratio0.0653

Chambal Breweries Backtested Returns

Macroaxis considers Chambal Breweries exceptionally risky given 1 month investment horizon. Chambal Breweries secures Sharpe Ratio (or Efficiency) of 0.0828 which signifies that Chambal Breweries had 0.0828% of return per unit of standard deviation over the last 1 month. Our philosophy in 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 Chambal Breweries Distilleries Ltd which you can use to evaluate future volatility of the firm. Please makes use of Chambal Breweries Mean Deviation of 2.4 and Risk Adjusted Performance of 0.0238 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Chambal Breweries holds performance score of 5. The firm shows Beta (market volatility) of 1.6882 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Chambal Breweries will likely underperform.. Although it is vital to follow to Chambal Breweries historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy in 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 Chambal Breweries technical indicators you can presently evaluate if the expected return of 0.3509% will be sustainable into the future. Please makes use of Chambal Breweries Mean Deviation, Standard Deviation, Treynor Ratio, as well as the relationship between Downside Deviation and Information Ratio to make a quick decision on weather Chambal Breweries price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.06 

Virtually no predictability

Chambal Breweries Distilleries Ltd has virtually no predictability. Overlapping area represents the amount of predictability between Chambal Breweries time series from August 26, 2018 to September 10, 2018 and September 10, 2018 to September 25, 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 Chambal Breweries price movement. The serial correlation of 0.06 indicates that barely 6.0% of current Chambal Breweries price fluctuation can be explain by its past prices.
Correlation Coefficient0.06
Spearman Rank Test-0.13
Residual Average0.0
Price Variance0.01

Chambal Breweries lagged returns against current returns

 Current and Lagged Values 

Chambal Breweries regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Chambal Breweries Lagged Returns

 Regressed Prices 

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Chambal Breweries Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Chambal Breweries 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 Chambal Breweries Hype Analysis, Chambal Breweries Correlation, Chambal Breweries Valuation, Chambal Breweries Volatility as well as analyze Chambal Breweries Alpha and Beta and Chambal Breweries Performance. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.