Electrosteel Castings (India) Backtesting

ELECTCAST -- India Stock  

INR 20.00  0.05  0.25%

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

Electrosteel Castings '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 Electrosteel Castings on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding Electrosteel Castings Limited or generate 0.0% return on investment in Electrosteel Castings over 30 days. Electrosteel Castings is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. Electrosteel Castings Limited manufactures and supplies ductile iron pipes, DI fittings, and cast iron pipes worldwide

Electrosteel Castings Upside/Downside Indicators

Information Ratio0.33
Maximum Drawdown7.1
Value At Risk4.11
Potential Upside1.69
  

Electrosteel Castings Market Premium Indicators

Risk Adjusted Performance0.1
Jensen Alpha0.52
Total Risk Alpha1.10
Treynor Ratio0.79

Electrosteel Castings Backtested Returns

Macroaxis considers Electrosteel Castings to be not very risky. Electrosteel Castings secures Sharpe Ratio (or Efficiency) of -0.3026 which denotes Electrosteel Castings had -0.3026% of return per unit of risk over the last 1 month. Macroaxis philosophy towards predicting 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. Electrosteel Castings Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Electrosteel Castings Coefficient Of Variation of 436.00 and Mean Deviation of 1.43 to check risk estimate we provide. Macroaxis gives Electrosteel Castings performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.5443 which denotes to the fact that as returns on market increase, Electrosteel Castings returns are expected to increase less than the market. However during bear market, the loss on holding Electrosteel Castings will be expected to be smaller as well.. Even though it is essential to pay attention to Electrosteel Castings historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards predicting 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. Electrosteel Castings Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. Electrosteel Castings has expected return of -0.5977%. Please be advised to confirm Electrosteel Castings Variance as well as the relationship between Value At Risk and Skewness to decide if Electrosteel Castings past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.50) 

Modest reverse predictability

Electrosteel Castings Limited has modest reverse predictability. Overlapping area represents the amount of predictability between Electrosteel Castings 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 Electrosteel Castings price movement. The serial correlation of -0.5 indicates that about 50.0% of current Electrosteel Castings price fluctuation can be explain by its past prices. Given that Electrosteel Castings Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Electrosteel Castings for similar time interval.
Correlation Coefficient-0.5
Spearman Rank Test-0.61
Residual Average0.0
Price Variance0.03

Electrosteel Castings lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Electrosteel Castings regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Electrosteel Castings Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - ELECTCAST

Electrosteel Castings Investor Sentiment

Macroaxis portfolio users are insensible in their opinion about investing in Electrosteel Castings Limited. What is your opinion about investing in Electrosteel Castings Limited? Are you bullish or bearish?
Bullish
Bearish
50% Bullish
50% Bearish
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Electrosteel Castings Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Electrosteel Castings 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  
Additionally see Electrosteel Castings Hype Analysis, Electrosteel Castings Correlation, Electrosteel Castings Valuation, Electrosteel Castings Volatility as well as analyze Electrosteel Castings Alpha and Beta and Electrosteel Castings Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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