PNC Infratech (India) Backtesting

PNCINFRA -- India Stock  

INR 150.70  5.65  3.61%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PNC Infratech Limited and determine expected loss or profit from investing in PNC Infratech over given investment horizon. Additionally take a look at PNC Infratech Hype Analysis, PNC Infratech Correlation, PNC Infratech Valuation, PNC Infratech Volatility as well as analyze PNC Infratech Alpha and Beta and PNC Infratech Performance.
Horizon     30 Days    Login   to change
SymbolX
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PNC Infratech 'What if' Analysis

August 24, 2018
0.00
No Change 0.00  0.0%
In 30 days
September 23, 2018
0.00
If you would invest  0.00  in PNC Infratech on August 24, 2018 and sell it all today you would earn a total of 0.00 from holding PNC Infratech Limited or generate 0.0% return on investment in PNC Infratech over 30 days. PNC Infratech is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. PNC Infratech Limited operates as an infrastructure construction, development, and management company in India

PNC Infratech Upside/Downside Indicators

Information Ratio0.14
Maximum Drawdown10.61
Value At Risk4.79
Potential Upside3.75
  

PNC Infratech Market Premium Indicators

Risk Adjusted Performance0.030445
Jensen Alpha0.18
Total Risk Alpha1.37
Treynor Ratio0.482

PNC Infratech Limited Backtested Returns

We consider PNC Infratech not too risky. PNC Infratech Limited retains Efficiency (Sharpe Ratio) of 0.0025 which implies PNC Infratech Limited had 0.0025% of return per unit of risk over the last 1 month. Our philosophy in forecasting 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 PNC Infratech which you can use to evaluate future volatility of the company. Please check PNC Infratech Limited Market Risk Adjusted Performance of 0.492 to confirm if risk estimate we provide are consistent with the epected return of 0.0075%. PNC Infratech has performance score of 0 on a scale of 0 to 100. The organization owns Beta (Systematic Risk) of -0.5555 which implies as returns on market increase, returns on owning PNC Infratech are expected to decrease at a much smaller rate. During bear market, PNC Infratech is likely to outperform the market.. Although it is extremely important to respect PNC Infratech Limited existing price patterns, it is better to be realistic regarding the information on equity price patterns. The philosophy in forecasting 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 examining PNC Infratech Limited technical indicators you can now evaluate if the expected return of 0.0075% will be sustainable into the future. PNC Infratech Limited currently owns a risk of 3.0267%. Please check PNC Infratech Limited Variance as well as the relationship between Value At Risk and Skewness to decide if PNC Infratech Limited will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.01 

Virtually no predictability

PNC Infratech Limited has virtually no predictability. Overlapping area represents the amount of predictability between PNC Infratech 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 PNC Infratech Limited price movement. The serial correlation of 0.01 indicates that just 1.0% of current PNC Infratech price fluctuation can be explain by its past prices.
Correlation Coefficient0.01
Spearman Rank Test-0.48
Residual Average0.0
Price Variance27.6

PNC Infratech Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PNC Infratech regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PNC Infratech Lagged Returns

 Regressed Prices 
      Timeline 

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Additionally take a look at PNC Infratech Hype Analysis, PNC Infratech Correlation, PNC Infratech Valuation, PNC Infratech Volatility as well as analyze PNC Infratech Alpha and Beta and PNC Infratech Performance. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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