Mcleod Russel (India) Market Value
| MCLEODRUSS | 47.56 2.44 4.88% |
| Symbol | Mcleod |
Mcleod Russel 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Mcleod Russel's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Mcleod Russel.
| 04/27/2024 |
| 12/23/2024 |
If you would invest 0.00 in Mcleod Russel on April 27, 2024 and sell it all today you would earn a total of 0.00 from holding Mcleod Russel India or generate 0.0% return on investment in Mcleod Russel over 240 days. Mcleod Russel is related to or competes with Reliance Industries, State Bank, HDFC Bank, Oil Natural, Coal India, and Tata Consultancy. Mcleod Russel is entity of India. It is traded as Stock on NSE exchange. More
Mcleod Russel Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Mcleod Russel's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Mcleod Russel India upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.37 | |||
| Information Ratio | 0.237 | |||
| Maximum Drawdown | 15.02 | |||
| Value At Risk | (5.02) | |||
| Potential Upside | 9.16 |
Mcleod Russel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mcleod Russel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mcleod Russel's standard deviation. In reality, there are many statistical measures that can use Mcleod Russel historical prices to predict the future Mcleod Russel's volatility.| Risk Adjusted Performance | 0.202 | |||
| Jensen Alpha | 1.01 | |||
| Total Risk Alpha | 0.8901 | |||
| Sortino Ratio | 0.2922 | |||
| Treynor Ratio | (6.83) |
Mcleod Russel India Backtested Returns
Mcleod Russel is not too volatile given 3 months investment horizon. Mcleod Russel India has Sharpe Ratio of 0.27, which conveys that the firm had a 0.27% return per unit of risk over the last 3 months. We are able to break down and analyze data for twenty-nine different technical indicators, which can help you to evaluate if expected returns of 1.12% are justified by taking the suggested risk. Use Mcleod Russel India Downside Deviation of 3.37, risk adjusted performance of 0.202, and Mean Deviation of 3.56 to evaluate company specific risk that cannot be diversified away. Mcleod Russel holds a performance score of 21 on a scale of zero to a hundred. The company secures a Beta (Market Risk) of -0.15, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Mcleod Russel are expected to decrease at a much lower rate. During the bear market, Mcleod Russel is likely to outperform the market. Use Mcleod Russel India semi variance, and the relationship between the treynor ratio and daily balance of power , to analyze future returns on Mcleod Russel India.
Auto-correlation | 0.18 |
Very weak predictability
Mcleod Russel India has very weak predictability. Overlapping area represents the amount of predictability between Mcleod Russel time series from 27th of April 2024 to 25th of August 2024 and 25th of August 2024 to 23rd of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Mcleod Russel India price movement. The serial correlation of 0.18 indicates that over 18.0% of current Mcleod Russel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | 0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 50.54 |
Mcleod Russel India lagged returns against current returns
Autocorrelation, which is Mcleod Russel stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Mcleod Russel's stock expected returns. We can calculate the autocorrelation of Mcleod Russel returns to help us make a trade decision. For example, suppose you find that Mcleod Russel has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Mcleod Russel regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Mcleod Russel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mcleod Russel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mcleod Russel stock over time.
Current vs Lagged Prices |
| Timeline |
Mcleod Russel Lagged Returns
When evaluating Mcleod Russel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mcleod Russel stock have on its future price. Mcleod Russel autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Mcleod Russel autocorrelation shows the relationship between Mcleod Russel stock current value and its past values and can show if there is a momentum factor associated with investing in Mcleod Russel India.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Mcleod Stock Analysis
When running Mcleod Russel's price analysis, check to measure Mcleod Russel's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Mcleod Russel is operating at the current time. Most of Mcleod Russel's value examination focuses on studying past and present price action to predict the probability of Mcleod Russel's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Mcleod Russel's price. Additionally, you may evaluate how the addition of Mcleod Russel to your portfolios can decrease your overall portfolio volatility.