Tata Ethical (India) Backtesting

F00000PDH5 -- India Fund  

INR 85.71  0.0011  0.0013%

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

Tata Ethical 'What if' Analysis

December 19, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
February 17, 2019
0.00
If you would invest  0.00  in Tata Ethical on December 19, 2018 and sell it all today you would earn a total of 0.00 from holding Tata Ethical Dir Div or generate 0.0% return on investment in Tata Ethical over 60 days. Tata Ethical is related to or competes with ICICI Pru, Reliance Media, PNB Met, UTI MNC, UTI MNC, IDFC Infrastructure, and Birla Sun. To provide medium to long- term capital gains by investing in Shariah compliant equity and equity related instruments of...

Tata Ethical Upside/Downside Indicators

Information Ratio(0.15)
Maximum Drawdown12.52
Value At Risk(6.79)
Potential Upside1.78
  

Tata Ethical Market Premium Indicators

Risk Adjusted Performance(0.20)
Jensen Alpha(0.25)
Total Risk Alpha(0.35)
Treynor Ratio1.45

Tata Ethical Dir Backtested Returns

Macroaxis considers Tata Ethical to be not too risky. Tata Ethical Dir owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2196 which indicates the organization had -0.2196% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Tata Ethical Dir Div exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Tata Ethical Coefficient Of Variation of (881.13) and Risk Adjusted Performance of (0.20) to confirm risk estimate we provide. The entity has beta of -0.1791 which indicates as returns on market increase, returns on owning Tata Ethical are expected to decrease at a much smaller rate. During bear market, Tata Ethical is likely to outperform the market. Even though it is essential to pay attention to Tata Ethical Dir current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Tata Ethical Dir Div exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.10) 
correlation synergy

Very weak reverse predictability

Tata Ethical Dir Div has very weak reverse predictability. Overlapping area represents the amount of predictability between Tata Ethical time series from December 19, 2018 to January 18, 2019 and January 18, 2019 to February 17, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Tata Ethical Dir price movement. The serial correlation of -0.1 indicates that less than 10.0% of current Tata Ethical price fluctuation can be explain by its past prices. Given that Tata Ethical Dir Div has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Tata Ethical for similar time interval.
Correlation Coefficient-0.1
Spearman Rank Test0.21
Residual Average0.0
Price Variance9.09

Tata Ethical Dir lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Tata Ethical regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Tata Ethical Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run Volatility Analysis Now

   

Volatility Analysis

Get historical volatility and risk analysis based on latest market data
All  Next Launch Volatility Analysis

Build Optimal Portfolios

Align your risk with return expectations

Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
Additionally see Tata Ethical Hype Analysis, Tata Ethical Correlation, Portfolio Optimization, Tata Ethical Volatility as well as analyze Tata Ethical Alpha and Beta and Tata Ethical Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
Search macroaxis.com