Williamson Magor (India) Backtesting

WILLAMAGOR -- India Stock  

INR 69.30  0.80  1.14%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Williamson Magor Co Limited and determine expected loss or profit from investing in Williamson Magor over given investment horizon. See also Williamson Magor Hype Analysis, Williamson Magor Correlation, Williamson Magor Valuation, Williamson Magor Volatility as well as analyze Williamson Magor Alpha and Beta and Williamson Magor Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Williamson Magor 'What if' Analysis

August 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 22, 2018
0.00
If you would invest  0.00  in Williamson Magor on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding Williamson Magor Co Limited or generate 0.0% return on investment in Williamson Magor over 30 days. Williamson Magor is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. Limited operates as a non-banking financial company in India

Williamson Magor Upside/Downside Indicators

Downside Deviation4.45
Information Ratio0.0583
Maximum Drawdown42.74
Value At Risk6.09
Potential Upside3.95
  

Williamson Magor Market Premium Indicators

Risk Adjusted Performance0.0459
Jensen Alpha1.06
Total Risk Alpha2.29
Sortino Ratio0.1048
Treynor Ratio0.25

Williamson Magor Backtested Returns

Macroaxis considers Williamson Magor not very risky given 1 month investment horizon. Williamson Magor shows Sharpe Ratio of 0.1011 which attests that Williamson Magor had 0.1011% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By examining Williamson Magor technical indicators you can presently evaluate if the expected return of 0.8661% is justified by implied risk. Please utilize Williamson Magor Market Risk Adjusted Performance of 0.24, Mean Deviation of 3.68 and Downside Deviation of 4.45 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Williamson Magor holds performance score of 6. The firm maintains market beta of -2.5796 which attests that as returns on market increase, returns on owning Williamson Magor are expected to decrease by larger amounts. On the other hand, during market turmoil, Williamson Magor is expected to significantly outperform it.. Although it is vital to follow to Williamson Magor historical price patterns, it is good to be conservative about what you can actually do with the information regarding equity current price history. The philosophy towards determining 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-one technical indicators for Williamson Magor which you can use to evaluate performance of the organization. Please utilizes Williamson Magor Value At Risk, and the relationship between Jensen Alpha and Semi Variance to make a quick decision on weather Williamson Magor Co Limited historical returns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.46) 

Modest reverse predictability

Williamson Magor Co Limited has modest reverse predictability. Overlapping area represents the amount of predictability between Williamson Magor time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 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 Williamson Magor price movement. The serial correlation of -0.46 indicates that about 46.0% of current Williamson Magor price fluctuation can be explain by its past prices. Given that Williamson Magor Co Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Williamson Magor for similar time interval.
Correlation Coefficient-0.46
Spearman Rank Test-0.6
Residual Average0.0
Price Variance1.66

Williamson Magor lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Williamson Magor regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Williamson Magor Lagged Returns

 Regressed Prices 
      Timeline 

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See also Williamson Magor Hype Analysis, Williamson Magor Correlation, Williamson Magor Valuation, Williamson Magor Volatility as well as analyze Williamson Magor Alpha and Beta and Williamson Magor Performance. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.
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