Grasim Industries (India) Backtesting

GRASIM -- India Stock  

INR 865.85  16.50  1.94%

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

Grasim Industries 'What if' Analysis

October 14, 2018
0.00
No Change 0.00  0.0%
In 31 days
November 13, 2018
0.00
If you would invest  0.00  in Grasim Industries on October 14, 2018 and sell it all today you would earn a total of 0.00 from holding Grasim Industries Limited or generate 0.0% return on investment in Grasim Industries over 30 days. Grasim Industries is related to or competes with IFGL Refractories, and UDAIPUR CEMENT. Grasim Industries Limited, together with its subsidiaries, manufactures and sells viscose staple fiber, chemicals, cemen...

Grasim Industries Upside/Downside Indicators

Information Ratio0.22
Maximum Drawdown7.61
Value At Risk3.50
Potential Upside3.17
  

Grasim Industries Market Premium Indicators

Risk Adjusted Performance0.17
Jensen Alpha0.41
Total Risk Alpha0.80
Treynor Ratio51.34

Grasim Industries Limited Backtested Returns

Macroaxis considers Grasim Industries to be not too risky. Grasim Industries Limited holds Efficiency (Sharpe) Ratio of -0.0911 which attests that Grasim Industries Limited had -0.0911% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in determining 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. Grasim Industries Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Grasim Industries Market Risk Adjusted Performance of 51.35 and Risk Adjusted Performance of 0.17 to validate risk estimate we provide. Macroaxis gives Grasim Industries performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.0081 which attests that as returns on market increase, returns on owning Grasim Industries are expected to decrease at a much smaller rate. During bear market, Grasim Industries is likely to outperform the market.. Even though it is essential to pay attention to Grasim Industries Limited current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy in determining 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. Grasim Industries Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. Grasim Industries Limited has expected return of -0.258%. Please be advised to check out Grasim Industries Information Ratio, and the relationship between Downside Deviation and Value At Risk to decide if Grasim Industries Limited past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.92) 
correlation synergy

Near perfect reversele predictability

Grasim Industries Limited has near perfect reversele predictability. Overlapping area represents the amount of predictability between Grasim Industries time series from October 14, 2018 to October 29, 2018 and October 29, 2018 to November 13, 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 Grasim Industries Limited price movement. The serial correlation of -0.92 indicates that approximately 92.0% of current Grasim Industries price fluctuation can be explain by its past prices. Given that Grasim Industries Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Grasim Industries for similar time interval.
Correlation Coefficient-0.92
Spearman Rank Test-0.9
Residual Average0.0
Price Variance364.15

Grasim Industries Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Grasim Industries regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Grasim Industries Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - GRASIM

Grasim Industries Limited Investor Sentiment

Most of Macroaxis users are currently bullish on Grasim Industries Limited. What is your judgment towards investing in Grasim Industries Limited? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Please also check Grasim Industries Hype Analysis, Grasim Industries Correlation, Grasim Industries Valuation, Grasim Industries Volatility as well as analyze Grasim Industries Alpha and Beta and Grasim Industries Performance. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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