Grasim Industries (India) Backtesting

GRASIM -- India Stock  

INR 1,067  18.65  1.78%

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

Grasim Industries 'What if' Analysis

August 23, 2018
No Change 0.00  0.0%
In 30 days
September 22, 2018
If you would invest  0.00  in Grasim Industries on August 23, 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 Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. Grasim Industries Limited, together with its subsidiaries, manufactures and sells viscose staple fiber, chemicals, cemen...

Grasim Industries Upside/Downside Indicators

Downside Deviation1.89
Information Ratio0.0308
Maximum Drawdown8.27
Value At Risk2.13
Potential Upside4.6

Grasim Industries Market Premium Indicators

Risk Adjusted Performance0.0608
Jensen Alpha0.2589
Total Risk Alpha0.52
Sortino Ratio0.0334
Treynor Ratio1.28

Grasim Industries Limited Backtested Returns

We consider Grasim Industries not too risky. Grasim Industries Limited holds Efficiency (Sharpe) Ratio of 0.0124 which attests that Grasim Industries Limited had 0.0124% of return per unit of standard deviation over the last 1 month. Our philosophy in determining 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 Grasim Industries Limited which you can use to evaluate future volatility of the corporation. Please check out Grasim Industries Market Risk Adjusted Performance of 1.27 and Risk Adjusted Performance of 0.0608 to validate if risk estimate we provide are consistent with the epected return of 0.0247%. Grasim Industries has performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.1793 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.. Although it is extremely important to respect Grasim Industries Limited current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy in determining 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 evaluating Grasim Industries Limited technical indicators you can presently evaluate if the expected return of 0.0247% will be sustainable into the future. Grasim Industries Limited right now retains a risk of 1.9979%. Please check out Grasim Industries Information Ratio, and the relationship between Downside Deviation and Value At Risk to decide if Grasim Industries will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.33) 

Poor reverse predictability

Grasim Industries Limited has poor reverse predictability. Overlapping area represents the amount of predictability between Grasim Industries 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 Grasim Industries Limited price movement. The serial correlation of -0.33 indicates that nearly 33.0% 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-0.33
Spearman Rank Test-0.82
Residual Average0.0
Price Variance672.5

Grasim Industries Limited lagged returns against current returns

 Current and Lagged Values 

Grasim Industries regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Grasim Industries Lagged Returns

 Regressed Prices 

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?
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 Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.