Emkay Global (India) Backtesting

EMKAY -- India Stock  

INR 124.80  6.70  5.10%

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

Emkay Global 'What if' Analysis

August 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 20, 2018
0.00
If you would invest  0.00  in Emkay Global on August 21, 2018 and sell it all today you would earn a total of 0.00 from holding Emkay Global Financial Services Limited or generate 0.0% return on investment in Emkay Global over 30 days. Emkay Global is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. Emkay Global Financial Services Limited engages in the stock broking, investment banking, depository participant, and th...

Emkay Global Upside/Downside Indicators

Downside Deviation5.94
Information Ratio0.009961
Maximum Drawdown34.48
Value At Risk5.54
Potential Upside17.8
  

Emkay Global Market Premium Indicators

Risk Adjusted Performance0.0109
Jensen Alpha0.1076
Total Risk Alpha1.75
Sortino Ratio0.012669
Treynor Ratio0.017472

Emkay Global Financial Backtested Returns

Macroaxis considers Emkay Global not too volatile given 1 month investment horizon. Emkay Global Financial secures Sharpe Ratio (or Efficiency) of 0.0378 which denotes Emkay Global Financial had 0.0378% of return per unit of risk over the last 1 month. Our philosophy towards predicting 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 Emkay Global Financial Services Limited which you can use to evaluate future volatility of the firm. Please utilize Emkay Global Financial Coefficient Of Variation of 27858.94, Mean Deviation of 4.05 and Downside Deviation of 5.94 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Emkay Global holds performance score of 2. The firm shows Beta (market volatility) of -0.9796 which denotes to the fact that . Although it is vital to follow to Emkay Global Financial historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards predicting 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 reviewing Emkay Global Financial technical indicators you can presently evaluate if the expected return of 0.305% will be sustainable into the future. Please utilizes Emkay Global Financial Downside Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Downside Variance to make a quick decision on weather Emkay Global price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.66) 

Very good reverse predictability

Emkay Global Financial Services Limited has very good reverse predictability. Overlapping area represents the amount of predictability between Emkay Global time series from August 21, 2018 to September 5, 2018 and September 5, 2018 to September 20, 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 Emkay Global Financial price movement. The serial correlation of -0.66 indicates that around 66.0% of current Emkay Global price fluctuation can be explain by its past prices. Given that Emkay Global Financial Services Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Emkay Global for similar time interval.
Correlation Coefficient-0.66
Spearman Rank Test-0.36
Residual Average0.0
Price Variance18.62

Emkay Global Financial lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Emkay Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Emkay Global Lagged Returns

 Regressed Prices 
      Timeline 

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Emkay Global Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Emkay Global 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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Additionally see Emkay Global Hype Analysis, Emkay Global Correlation, Emkay Global Valuation, Emkay Global Volatility as well as analyze Emkay Global Alpha and Beta and Emkay Global Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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