Z F (India) Backtesting

ZFSTEERING -- India Stock  

INR 1,025  97.85  8.72%

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

Z F 'What if' Analysis

August 24, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 23, 2018
0.00
If you would invest  0.00  in Z F on August 24, 2018 and sell it all today you would earn a total of 0.00 from holding Z F STEERING GEAR LTD or generate 0.0% return on investment in Z F over 30 days. Z F is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC.

Z F Upside/Downside Indicators

Information Ratio0.09
Maximum Drawdown11.13
Value At Risk4.82
Potential Upside5.94
  

Z F Market Premium Indicators

Risk Adjusted Performance0.008848
Jensen Alpha0.2853
Total Risk Alpha1.37
Treynor Ratio0.0545

Z F STEERING Backtested Returns

Macroaxis considers Z F to be not too risky. Z F STEERING shows Sharpe Ratio of -0.0398 which attests that Z F STEERING had -0.0398% of return per unit of standard deviation over the last 1 month. Macroaxis approach towards determining 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. Z F STEERING exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Z F STEERING Risk Adjusted Performance of 0.008848 and Mean Deviation of 2.31 to validate risk estimate we provide. Macroaxis gives Z F performance score of 0 on a scale of 0 to 100. The corporation maintains market beta of -2.5569 which attests that as returns on market increase, returns on owning Z F are expected to decrease by larger amounts. On the other hand, during market turmoil, Z F is expected to significantly outperform it.. Even though it is essential to pay attention to Z F STEERING historical price patterns, it is always good to be careful when utilizing equity current price history. Macroaxis approach towards determining 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. Z F STEERING exposes twenty-one different technical indicators which can help you to evaluate its performance. Z F STEERING has expected return of -0.1401%. Please be advised to check out Z F STEERING Coefficient Of Variation, Treynor Ratio as well as the relationship between Treynor Ratio and Semi Variance to decide if Z F STEERING past performance will be repeated sooner or later.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.22) 

Weak reverse predictability

Z F STEERING GEAR LTD has weak reverse predictability. Overlapping area represents the amount of predictability between Z F 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 Z F STEERING price movement. The serial correlation of -0.22 indicates that over 22.0% of current Z F price fluctuation can be explain by its past prices. Given that Z F STEERING GEAR LTD has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Z F for similar time interval.
Correlation Coefficient-0.22
Spearman Rank Test-0.07
Residual Average0.0
Price Variance2181.74

Z F STEERING lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Z F regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Z F Lagged Returns

 Regressed Prices 
      Timeline 

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See also Z F Hype Analysis, Z F Correlation, Z F Valuation, Z F Volatility as well as analyze Z F Alpha and Beta and Z F Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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