UCAL FUEL (India) Backtesting

UCALFUEL -- India Stock  

INR 144.50  1.55  1.08%

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

UCAL FUEL 'What if' Analysis

August 17, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 15, 2019
If you would invest  0.00  in UCAL FUEL on August 17, 2019 and sell it all today you would earn a total of 0.00 from holding UCAL FUEL SYSTEMS or generate 0.0% return on investment in UCAL FUEL over 90 days. UCAL FUEL is related to or competes with MOTHERSON SUMI, TUBE INVESTMENTS, VARROC ENGINEERING, IGARASHI MOTORS, RICO AUTO, JULLUNDUR MOTOR, and AUTOMOTIVE STAMPIN. Ucal Fuel Systems Limited provides fuel management systems for the automotive sector in India

UCAL FUEL Upside/Downside Indicators

Downside Deviation2.67
Information Ratio0.0328
Maximum Drawdown10.63
Value At Risk(4.42)
Potential Upside4.53

UCAL FUEL Market Premium Indicators

Risk Adjusted Performance0.0724
Jensen Alpha0.1104
Total Risk Alpha(0.20)
Sortino Ratio0.0289
Treynor Ratio0.2743

UCAL FUEL SYSTEMS Backtested Returns

Macroaxis considers UCAL FUEL very steady given 3 months investment horizon. UCAL FUEL SYSTEMS retains Efficiency (Sharpe Ratio) of 0.0755 which indicates the company had 0.0755% of return per unit of volatility over the last 3 months. Our way of measuring 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 UCAL FUEL which you can use to evaluate future volatility of the entity. Please operate UCAL FUEL SYSTEMS Market Risk Adjusted Performance of 0.2843, Mean Deviation of 1.61 and Standard Deviation of 2.35 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 UCAL FUEL holds performance score of 5. The corporation owns Beta (Systematic Risk) of 0.7331 which indicates as returns on market increase, UCAL FUEL returns are expected to increase less than the market. However during bear market, the loss on holding UCAL FUEL will be expected to be smaller as well. Although it is extremely important to respect UCAL FUEL SYSTEMS existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way of 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. By evaluating UCAL FUEL SYSTEMS technical indicators you can today evaluate if the expected return of 0.2085% will be sustainable into the future. Please operates UCAL FUEL SYSTEMS Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Information Ratio and Downside Variance to make a quick decision on weather UCAL FUEL SYSTEMS current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.52 
correlation synergy

Modest predictability

UCAL FUEL SYSTEMS has modest predictability. Overlapping area represents the amount of predictability between UCAL FUEL time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 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 UCAL FUEL SYSTEMS price movement. The serial correlation of 0.52 indicates that about 52.0% of current UCAL FUEL price fluctuation can be explain by its past prices.
Correlation Coefficient0.52
Spearman Rank Test0.66
Residual Average0.0
Price Variance80.19

UCAL FUEL SYSTEMS lagged returns against current returns

 Current and Lagged Values 

UCAL FUEL regressed lagged prices vs. current prices

 Current vs Lagged Prices 

UCAL FUEL Lagged Returns

 Regressed Prices 

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Also please take a look at UCAL FUEL Hype Analysis, UCAL FUEL Correlation, UCAL FUEL Valuation, UCAL FUEL Volatility as well as analyze UCAL FUEL Alpha and Beta and UCAL FUEL Performance. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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