ITC Backtesting

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ITC -- India Stock  

INR 197.20  4.60  2.28%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ITC LTD and determine expected loss or profit from investing in ITC over given investment horizon. Please see ITC Hype Analysis, ITC Correlation, ITC Valuation, ITC Volatility as well as analyze ITC Alpha and Beta and ITC Performance.

ITC 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in ITC on March 6, 2020 and sell it all today you would earn a total of 0.00 from holding ITC LTD or generate 0.0% return on investment in ITC over 90 days. ITC Limited engages in the fast moving consumer goods, hotels, paperboards, paper and packaging, agri, and information t...

ITC Upside/Downside Indicators

Information Ratio(0.06)
Maximum Drawdown23.27
Value At Risk(8.31)
Potential Upside7.5

ITC Market Premium Indicators

Risk Adjusted Performance(0.14)
Jensen Alpha(0.16)
Total Risk Alpha(0.27)
Treynor Ratio6.74

ITC LTD Backtested Returns

Macroaxis considers ITC very steady given 3 months investment horizon. ITC LTD retains Efficiency (Sharpe Ratio) of 0.1136, which attests that the entity had 0.1136% of return per unit of return volatility over the last 3 months. Our approach to determining the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By reviewing ITC LTD technical indicators you can today evaluate if the expected return of 0.5057% is justified by implied risk. Please utilize ITC LTD Market Risk Adjusted Performance of 6.75 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 ITC holds performance score of 7. The company owns a Beta (Systematic Risk) of -0.0246, which attests that as returns on market increase, returns on owning ITC are expected to decrease at a much smaller rate. During bear market, ITC is likely to outperform the market. Although it is vital to follow to ITC LTD existing price patterns, it is good to be conservative about what you can actually do with the information regarding equity price patterns. The approach to 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 ITC, which you can use to evaluate performance of the corporation. Please utilizes ITC LTD Mean Deviation, Downside Deviation, Standard Deviation, as well as the relationship between Semi Deviation and Coefficient Of Variation to make a quick decision on weather ITC LTD current price history will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.45 
correlation synergy

Average predictability

ITC LTD has average predictability. Overlapping area represents the amount of predictability between ITC time series from 6th of March 2020 to 20th of April 2020 and 20th of April 2020 to 4th of June 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ITC LTD price movement. The serial correlation of 0.45 indicates that just about 45.0% of current ITC price fluctuation can be explain by its past prices.
Correlation Coefficient0.45
Spearman Rank Test0.4
Residual Average0.0
Price Variance153.48

ITC LTD lagged returns against current returns

 Current and Lagged Values 

ITC regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ITC Lagged Returns

 Regressed Prices 

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Please see ITC Hype Analysis, ITC Correlation, ITC Valuation, ITC Volatility as well as analyze ITC Alpha and Beta and ITC Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page