TATAMOTORS Backtesting

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TATAMOTORS -- India Stock  

INR 101.55  0.80  0.79%

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

TATA MOTORS 'What if' Analysis

No Change 0.00  0.0 
In 2 months and 31 days
If you would invest  0.00  in TATA MOTORS on April 6, 2020 and sell it all today you would earn a total of 0.00 from holding TATA MOTORS LTD or generate 0.0% return on investment in TATA MOTORS over 90 days. Tata Motors Limited designs, develops, manufactures, and sells a range of automotive vehicles

TATA MOTORS Upside/Downside Indicators

Information Ratio(0.06)
Maximum Drawdown44.19
Value At Risk(6.00)
Potential Upside10.8

TATA MOTORS Market Premium Indicators

Risk Adjusted Performance(0.030831)
Jensen Alpha(0.11)
Total Risk Alpha(0.87)
Treynor Ratio4.34

TATA MOTORS LTD Backtested Returns

TATA MOTORS appears to be very steady, given 3 months investment horizon. TATA MOTORS LTD owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.18, which indicates the company had 0.18% of return per unit of standard deviation over the last 3 months. Our approach into measuring the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By examining TATA MOTORS LTD technical indicators you can now evaluate if the expected return of 0.76% is justified by implied risk. Please operate TATA MOTORS risk adjusted performance of (0.030831), and market risk adjusted performance of 4.35 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, TATA MOTORS holds a performance score of 12. The firm has a beta of -0.027, which indicates not very significant volatility relative to the market. Let's try to break down what TATAMOTORS's beta means in this case. As returns on the market increase, returns on owning TATA MOTORS are expected to decrease at a much lower rate. During the bear market, TATA MOTORS is likely to outperform the market. Although it is vital to follow to TATA MOTORS LTD current price movements, it is good to be conservative about what you can do with the information regarding equity historical returns. The approach into measuring 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. We have found twenty-eight technical indicators for TATA MOTORS LTD, which you can use to evaluate the performance of the entity. Please operates TATA MOTORS skewness, and the relationship between the potential upside and rate of daily change to make a quick decision on whether TATA MOTORS LTD existing price patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.00 
correlation synergy

No correlation between past and present

TATA MOTORS LTD has no correlation between past and present. Overlapping area represents the amount of predictability between TATA MOTORS time series from 6th of April 2020 to 21st of May 2020 and 21st of May 2020 to 5th 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 TATA MOTORS LTD price movement. The serial correlation of 0.0 indicates that just 0.0% of current TATA MOTORS price fluctuation can be explain by its past prices.
Correlation Coefficient0.0
Spearman Rank Test0.0
Residual Average0.0
Price Variance0.0

TATA MOTORS LTD lagged returns against current returns

 Current and Lagged Values 

TATA MOTORS regressed lagged prices vs. current prices

 Current vs Lagged Prices 

TATA MOTORS Lagged Returns

 Regressed Prices 

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Additionally, take a look at TATA MOTORS Hype Analysis, TATA MOTORS Correlation, TATA MOTORS Valuation, TATA MOTORS Volatility as well as analyze TATA MOTORS Alpha and Beta and TATA MOTORS Performance. Please also try Probability Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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