MRF (India) Backtesting

MRF -- India Stock  

INR 66,791  0.05  0.0001%

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

August 24, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 23, 2018
0.00
If you would invest  0.00  in MRF on August 24, 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 30 days. MRF is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. MRF Limited, together with its subsidiaries, manufactures, distributes, and sells rubber products in India and internati...

MRF Upside/Downside Indicators

Information Ratio0.51
Maximum Drawdown4.52
Value At Risk2.97
Potential Upside1.23
  

MRF Market Premium Indicators

Risk Adjusted Performance0.16
Jensen Alpha0.37
Total Risk Alpha0.82
Treynor Ratio1.61

MRF Limited Backtested Returns

Macroaxis considers MRF to be not too risky. MRF Limited has Sharpe Ratio of -0.5015 which conveys that MRF Limited had -0.5015% of return per unit of risk over the last 1 month. 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 0.8134 and Risk Adjusted Performance of 0.16 to check out risk estimate we provide. Macroaxis gives MRF performance score of 0 on a scale of 0 to 100. The company secures Beta (Market Risk) of -0.2552 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 -0.5694%. 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 0.82 

Very good predictability

MRF Limited has very good predictability. Overlapping area represents the amount of predictability between MRF time series from August 24, 2018 to September 8, 2018 and September 8, 2018 to September 23, 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 MRF Limited price movement. The serial correlation of 0.82 indicates that around 82.0% of current MRF price fluctuation can be explain by its past prices.
Correlation Coefficient0.82
Spearman Rank Test0.42
Residual Average0.0
Price Variance2129196.02

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 Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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