LUPIN Backtesting

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LUPIN -- India Stock  

INR 867.05  5.95  0.69%

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

LUPIN 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in LUPIN on April 13, 2020 and sell it all today you would earn a total of 0.00 from holding LUPIN LTD or generate 0.0% return on investment in LUPIN over 90 days. Lupin Limited, a pharmaceutical company, develops, produces, and markets a range of branded and generic formulations, bi...

LUPIN Upside/Downside Indicators

Downside Deviation1.65
Information Ratio0.1611
Maximum Drawdown17.99
Value At Risk(2.24)
Potential Upside6.74

LUPIN Market Premium Indicators

Risk Adjusted Performance0.406
Jensen Alpha0.6525
Total Risk Alpha0.3723
Sortino Ratio0.2993
Treynor Ratio6.47

LUPIN LTD Backtested Returns

We consider LUPIN very steady. LUPIN LTD has Sharpe Ratio of 0.0657, which conveys that the firm had 0.0657% of return per unit of volatility over the last 3 months. Our outlook to estimating the 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 LUPIN, which you can use to evaluate future volatility of the firm. Please verify LUPIN LTD mean deviation of 2.07, and risk adjusted performance of 0.406 to check out if the risk estimate we provide is consistent with the expected return of 0.13%. LUPIN has performance score of 4 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.1037, which conveys not very significant fluctuations relative to the market. Let's try to break down what LUPIN's beta means in this case. As returns on the market increase, LUPIN returns are expected to increase less than the market. However, during the bear market, the loss on holding LUPIN will be expected to be smaller as well. Although it is extremely important to respect LUPIN LTD price patterns, it is better to be realistic regarding the information on equity historical price patterns. The way in which we are estimating 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 reviewing LUPIN LTD technical indicators, you can currently evaluate if the expected return of 0.13% will be sustainable into the future. LUPIN LTD presently secures a risk of 1.92%. Please verify LUPIN LTD variance, value at risk, as well as the relationship between the Value At Risk and skewness to decide if LUPIN LTD will be following its current price movements.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.05 
correlation synergy

Virtually no predictability

LUPIN LTD has virtually no predictability. Overlapping area represents the amount of predictability between LUPIN time series from 13th of April 2020 to 28th of May 2020 and 28th of May 2020 to 12th of July 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 LUPIN LTD price movement. The serial correlation of 0.05 indicates that only as little as 5.0% of current LUPIN price fluctuation can be explain by its past prices.
Correlation Coefficient0.05
Spearman Rank Test-0.05
Residual Average0.0
Price Variance500.33

LUPIN LTD lagged returns against current returns

 Current and Lagged Values 

LUPIN regressed lagged prices vs. current prices

 Current vs Lagged Prices 

LUPIN Lagged Returns

 Regressed Prices 

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Additionally, see LUPIN Hype Analysis, LUPIN Correlation, LUPIN Valuation, LUPIN Volatility as well as analyze LUPIN Alpha and Beta and LUPIN Performance. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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