Emkay Global (India) Backtesting

EMKAY -- India Stock  

INR 95.05  2.00  2.06%

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

Emkay Global 'What if' Analysis

October 19, 2018
No Change 0.00  0.0%
In 31 days
November 18, 2018
If you would invest  0.00  in Emkay Global on October 19, 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 Edelweiss Financial, Edelweiss Financial, IIFL Holdings, JM Financial, JM Financial, Indian Energy, and Tata Investment. Emkay Global Financial Services Limited, through its subsidiaries, provides institutional equities, investment banking, ...

Emkay Global Upside/Downside Indicators

Downside Deviation3.76
Information Ratio0.0233
Maximum Drawdown15.66
Value At Risk4.84
Potential Upside6.75

Emkay Global Market Premium Indicators

Risk Adjusted Performance0.0161
Jensen Alpha0.012854
Total Risk Alpha0.2875
Sortino Ratio0.0261
Treynor Ratio0.04788

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 0.1381 which denotes Emkay Global Financial had 0.1381% 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 13622.23, Mean Deviation of 3.0 and Downside Deviation of 3.76 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Emkay Global holds performance score of 9. The firm shows Beta (market volatility) of -0.4377 which denotes to the fact that as returns on market increase, returns on owning Emkay Global are expected to decrease at a much smaller rate. During bear market, Emkay Global is likely to outperform the market.. 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 0.3677% 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(0.81) 
correlation synergy

Excellent reverse predictability

Emkay Global Financial Services Limited has excellent reverse predictability. Overlapping area represents the amount of predictability between Emkay Global time series from October 19, 2018 to November 3, 2018 and November 3, 2018 to November 18, 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 -0.81 indicates that around 81.0% 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-0.81
Spearman Rank Test-0.83
Residual Average0.0
Price Variance2.2

Emkay Global Financial lagged returns against current returns

 Current and Lagged Values 

Emkay Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Emkay Global Lagged Returns

 Regressed Prices 

Current Sentiment - EMKAY

Emkay Global Financial Investor Sentiment

Macroaxis portfolio users are insensible in their opinion about investing in Emkay Global Financial Services Limited. What is your opinion about investing in Emkay Global Financial Services Limited? Are you bullish or bearish?
50% Bullish
50% Bearish

Emkay Global Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Emkay Global and Edelweiss Financial. 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 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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