NMDC Backtesting

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NMDC -- India Stock  

INR 82.75  3.05  3.55%

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

NMDC 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in NMDC on April 11, 2020 and sell it all today you would earn a total of 0.00 from holding NMDC LTD or generate 0.0% return on investment in NMDC over 90 days. The company also explores for a range of minerals, such as copper, rock phosphate, lime stone, dolomite, gypsum, bentoni...

NMDC Upside/Downside Indicators

Downside Deviation3.27
Information Ratio0.0872
Maximum Drawdown16.47
Value At Risk(4.09)
Potential Upside5.76

NMDC Market Premium Indicators

Risk Adjusted Performance0.2552
Jensen Alpha0.4299
Total Risk Alpha0.159
Sortino Ratio0.0887
Treynor Ratio3.79

NMDC LTD Backtested Returns

We consider NMDC very steady. NMDC LTD has Sharpe Ratio of 0.0177, which conveys that the firm had 0.0177% of return per unit of risk over the last 3 months. Our standpoint towards 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 NMDC, which you can use to evaluate future volatility of the firm. Please verify NMDC LTD risk adjusted performance of 0.2552, and mean deviation of 2.5 to check out if the risk estimate we provide is consistent with the expected return of 0.0548%. NMDC has performance score of 1 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.1184, which conveys not very significant fluctuations relative to the market. Let's try to break down what NMDC's beta means in this case. As returns on the market increase, NMDC returns are expected to increase less than the market. However, during the bear market, the loss on holding NMDC will be expected to be smaller as well. Although it is extremely important to respect NMDC LTD price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards 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 evaluating NMDC LTD technical indicators, you can today evaluate if the expected return of 0.0548% will be sustainable into the future. NMDC LTD now secures a risk of 3.09%. Please verify NMDC LTD coefficient of variation, variance, and the relationship between the downside deviation and standard deviation to decide if NMDC LTD will be following its current price movements.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.32) 
correlation synergy

Poor reverse predictability

NMDC LTD has poor reverse predictability. Overlapping area represents the amount of predictability between NMDC time series from 11th of April 2020 to 26th of May 2020 and 26th of May 2020 to 10th 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 NMDC LTD price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current NMDC price fluctuation can be explain by its past prices. Given that NMDC LTD has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NMDC for similar time interval.
Correlation Coefficient-0.32
Spearman Rank Test0.0
Residual Average0.0
Price Variance13.2

NMDC LTD lagged returns against current returns

 Current and Lagged Values 

NMDC regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NMDC Lagged Returns

 Regressed Prices 

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Additionally, see NMDC Hype Analysis, NMDC Correlation, NMDC Valuation, NMDC Volatility as well as analyze NMDC Alpha and Beta and NMDC Performance. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.
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