MRF (India) Backtesting

MRF -- India Stock  

INR 65,735  66.70  0.00%

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

MRF 'What if' Analysis

November 21, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
January 20, 2019
0.00
If you would invest  0.00  in MRF on November 21, 2018 and sell it all today you would earn a total of 0.00 from holding MRF Limited or generate 0.0% return on investment in MRF over 60 days. MRF is related to or competes with MRF, Balkrishna Industries, Supreme Industries, Supreme Industries, Astral Poly, and Apollo Tyres. MRF Limited, together with its subsidiaries, manufactures, distributes, and sells rubber products in India and internati...

MRF Upside/Downside Indicators

Downside Deviation1.1
Information Ratio0.0737
Maximum Drawdown8.87
Value At Risk(1.31)
Potential Upside2.0
  

MRF Market Premium Indicators

Risk Adjusted Performance0.0697
Jensen Alpha0.0373
Total Risk Alpha0.0801
Sortino Ratio0.0895
Treynor Ratio(0.65)

MRF Limited Backtested Returns

Macroaxis considers MRF to be not too risky. MRF Limited has Sharpe Ratio of -0.049 which conveys that the firm had -0.049% of return per unit of risk over the last 2 months. Macroaxis philosophy in estimating 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. MRF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MRF Limited Mean Deviation of 0.8078 and Risk Adjusted Performance of 0.0697 to check out risk estimate we provide. The company secures Beta (Market Risk) of -0.063 which conveys that as returns on market increase, returns on owning MRF are expected to decrease at a much smaller rate. During bear market, MRF is likely to outperform the market. Even though it is essential to pay attention to MRF Limited price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy in estimating 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. MRF exposes twenty-one different technical indicators which can help you to evaluate its performance. MRF Limited has expected return of -0.07%. Please be advised to verify MRF Limited Downside Deviation, Standard Deviation, Information Ratio, as well as the relationship between Coefficient Of Variation and Variance to decide if MRF Limited past performance will be repeated at future time.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.10 
correlation synergy

Insignificant predictability

MRF Limited has insignificant predictability. Overlapping area represents the amount of predictability between MRF time series from November 21, 2018 to December 21, 2018 and December 21, 2018 to January 20, 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 MRF Limited price movement. The serial correlation of 0.1 indicates that less than 10.0% of current MRF price fluctuation can be explain by its past prices.
Correlation Coefficient0.1
Spearman Rank Test0.17
Residual Average0.0
Price Variance211888.4

MRF Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MRF regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MRF Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - MRF

MRF Limited Investor Sentiment

Most of Macroaxis users are now bullish on MRF Limited. What is your trading attitude regarding investing in MRF Limited? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Please see also MRF Hype Analysis, MRF Correlation, MRF Valuation, MRF Volatility as well as analyze MRF Alpha and Beta and MRF Performance. Please also try Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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