Ujjivan Financial (India) Backtesting

UJJIVAN -- India Stock  

INR 296.45  19.45  6.16%

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

Ujjivan Financial 'What if' Analysis

August 25, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 24, 2018
0.00
If you would invest  0.00  in Ujjivan Financial on August 25, 2018 and sell it all today you would earn a total of 0.00 from holding Ujjivan Financial Services Limited or generate 0.0% return on investment in Ujjivan Financial over 30 days. Ujjivan Financial is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. Ujjivan Financial Services Limited, a microfinance institution, provides retail banking services and a range of financia...

Ujjivan Financial Upside/Downside Indicators

Information Ratio0.36
Maximum Drawdown8.86
Value At Risk6.16
Potential Upside2.51
  

Ujjivan Financial Market Premium Indicators

Risk Adjusted Performance0.12
Jensen Alpha0.98
Total Risk Alpha1.52
Treynor Ratio0.35

Ujjivan Financial Backtested Returns

Macroaxis considers Ujjivan Financial to be not too risky. Ujjivan Financial owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.4811 which indicates Ujjivan Financial had -0.4811% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Ujjivan Financial Services Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Ujjivan Financial Coefficient Of Variation of 351.75 and Risk Adjusted Performance of 0.12 to confirm risk estimate we provide. Macroaxis gives Ujjivan Financial performance score of 0 on a scale of 0 to 100. The entity has beta of 1.8922 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Ujjivan Financial will likely underperform.. Even though it is essential to pay attention to Ujjivan Financial current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring 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. Ujjivan Financial Services Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. Ujjivan Financial has expected return of -1.1078%. Please be advised to validate Ujjivan Financial Coefficient Of Variation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Skewness to decide if Ujjivan Financial past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.75 

Good predictability

Ujjivan Financial Services Limited has good predictability. Overlapping area represents the amount of predictability between Ujjivan Financial time series from August 25, 2018 to September 9, 2018 and September 9, 2018 to September 24, 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 Ujjivan Financial price movement. The serial correlation of 0.75 indicates that around 75.0% of current Ujjivan Financial price fluctuation can be explain by its past prices.
Correlation Coefficient0.75
Spearman Rank Test0.78
Residual Average0.0
Price Variance168.77

Ujjivan Financial lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Ujjivan Financial regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Ujjivan Financial Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Ujjivan Financial Hype Analysis, Ujjivan Financial Correlation, Ujjivan Financial Valuation, Ujjivan Financial Volatility as well as analyze Ujjivan Financial Alpha and Beta and Ujjivan Financial Performance. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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