Ipca Laboratories (India) Backtesting

IPCALAB -- India Stock  

INR 762.40  9.30  1.23%

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

Ipca Laboratories 'What if' Analysis

October 21, 2018
No Change 0.00  0.0%
In 31 days
November 20, 2018
If you would invest  0.00  in Ipca Laboratories on October 21, 2018 and sell it all today you would earn a total of 0.00 from holding Ipca Laboratories Limited or generate 0.0% return on investment in Ipca Laboratories over 30 days. Ipca Laboratories Limited manufactures and markets pharmaceutical formulations and active pharmaceutical ingredients for...

Ipca Laboratories Upside/Downside Indicators

Downside Deviation1.76
Information Ratio0.4822
Maximum Drawdown7.45
Value At Risk2.05
Potential Upside3.66

Ipca Laboratories Market Premium Indicators

Risk Adjusted Performance0.559
Jensen Alpha0.8471
Total Risk Alpha1.01
Sortino Ratio0.5464
Treynor Ratio1.89

Ipca Laboratories Backtested Returns

Macroaxis considers Ipca Laboratories not too risky given 1 month investment horizon. Ipca Laboratories holds Efficiency (Sharpe) Ratio of 0.4998 which attests that Ipca Laboratories had 0.4998% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By evaluating Ipca Laboratories technical indicators you can presently evaluate if the expected return of 0.8663% is justified by implied risk. Please utilize Ipca Laboratories Downside Deviation of 1.76, Market Risk Adjusted Performance of 1.88 and Risk Adjusted Performance of 0.559 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Ipca Laboratories holds performance score of 33. The company retains Market Volatility (i.e. Beta) of -0.4687 which attests that as returns on market increase, returns on owning Ipca Laboratories are expected to decrease at a much smaller rate. During bear market, Ipca Laboratories is likely to outperform the market.. Although it is vital to follow to Ipca Laboratories current price history, it is good to be conservative about what you can actually do with the information regarding equity current price movements. The philosophy towards 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. We have found twenty-one technical indicators for Ipca Laboratories which you can use to evaluate performance of the corporation. Please utilizes Ipca Laboratories Jensen Alpha, and the relationship between Coefficient Of Variation and Potential Upside to make a quick decision on weather Ipca Laboratories Limited current trending patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.83 
correlation synergy

Very good predictability

Ipca Laboratories Limited has very good predictability. Overlapping area represents the amount of predictability between Ipca Laboratories time series from October 21, 2018 to November 5, 2018 and November 5, 2018 to November 20, 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 Ipca Laboratories price movement. The serial correlation of 0.83 indicates that around 83.0% of current Ipca Laboratories price fluctuation can be explain by its past prices.
Correlation Coefficient0.83
Spearman Rank Test0.74
Residual Average0.0
Price Variance715.92

Ipca Laboratories lagged returns against current returns

 Current and Lagged Values 

Ipca Laboratories regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Ipca Laboratories Lagged Returns

 Regressed Prices 

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Please also check Ipca Laboratories Hype Analysis, Ipca Laboratories Correlation, Ipca Laboratories Valuation, Ipca Laboratories Volatility as well as analyze Ipca Laboratories Alpha and Beta and Ipca Laboratories Performance. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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