IndusInd Bank (India) Backtesting

INDUSINDBK -- India Stock  

INR 1,517  33.60  0.02%

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

IndusInd Bank 'What if' Analysis

November 23, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
January 22, 2019
0.00
If you would invest  0.00  in IndusInd Bank on November 23, 2018 and sell it all today you would earn a total of 0.00 from holding IndusInd Bank Limited or generate 0.0% return on investment in IndusInd Bank over 60 days. IndusInd Bank is related to or competes with HDFC Bank, STATE BANK, ICICI Bank, ICICI Bank, Kotak Mahindra, Kotak Mahindra, and Axis Bank. IndusInd Bank Limited provides various banking products and services to individuals, NRIs, business owners, corporates, ...

IndusInd Bank Upside/Downside Indicators

Information Ratio(0.013195)
Maximum Drawdown7.63
Value At Risk(3.04)
Potential Upside3.69
  

IndusInd Bank Market Premium Indicators

Risk Adjusted Performance(0.08)
Jensen Alpha(0.08)
Total Risk Alpha(0.027361)
Treynor Ratio(1.07)

IndusInd Bank Limited Backtested Returns

Macroaxis considers IndusInd Bank to be not too risky. IndusInd Bank Limited holds Efficiency (Sharpe) Ratio of -0.1175 which attests that the entity had -0.1175% of return per unit of risk over the last 2 months. Macroaxis philosophy towards 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. IndusInd Bank 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 IndusInd Bank Risk Adjusted Performance of (0.08) and Market Risk Adjusted Performance of (1.06) to validate risk estimate we provide. The company retains Market Volatility (i.e. Beta) of 0.0762 which attests that as returns on market increase, IndusInd Bank returns are expected to increase less than the market. However during bear market, the loss on holding IndusInd Bank will be expected to be smaller as well. Even though it is essential to pay attention to IndusInd Bank Limited current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards 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. IndusInd Bank Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. IndusInd Bank Limited has expected return of -0.1999%. Please be advised to check out IndusInd Bank Mean Deviation, Information Ratio as well as the relationship between Information Ratio and Downside Variance to decide if IndusInd Bank Limited past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.24) 
correlation synergy

Weak reverse predictability

IndusInd Bank Limited has weak reverse predictability. Overlapping area represents the amount of predictability between IndusInd Bank time series from November 23, 2018 to December 23, 2018 and December 23, 2018 to January 22, 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 IndusInd Bank Limited price movement. The serial correlation of -0.24 indicates that over 24.0% of current IndusInd Bank price fluctuation can be explain by its past prices. Given that IndusInd Bank Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of IndusInd Bank for similar time interval.
Correlation Coefficient-0.24
Spearman Rank Test-0.43
Residual Average0.0
Price Variance1295.38

IndusInd Bank Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

IndusInd Bank regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

IndusInd Bank Lagged Returns

 Regressed Prices 
      Timeline 

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Please also check IndusInd Bank Hype Analysis, IndusInd Bank Correlation, IndusInd Bank Valuation, IndusInd Bank Volatility as well as analyze IndusInd Bank Alpha and Beta and IndusInd Bank Performance. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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