Tata Chemicals (India) Market Value
| TATACHEM | 1,136 6.60 0.58% |
| Symbol | Tata |
Tata Chemicals '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 Tata Chemicals' 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 Tata Chemicals.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Tata Chemicals on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Tata Chemicals Limited or generate 0.0% return on investment in Tata Chemicals over 30 days. Tata Chemicals is related to or competes with NMDC, Steel Authority, Embassy Office, Gujarat Narmada, Gujarat Alkalies, Indian Metals, and JTL Industries. Tata Chemicals is entity of India. It is traded as Stock on NSE exchange. More
Tata Chemicals 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 Tata Chemicals' 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 Tata Chemicals Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.52 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 13.12 | |||
| Value At Risk | (3.84) | |||
| Potential Upside | 3.24 |
Tata Chemicals Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Tata Chemicals' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Tata Chemicals' standard deviation. In reality, there are many statistical measures that can use Tata Chemicals historical prices to predict the future Tata Chemicals' volatility.| Risk Adjusted Performance | 0.0398 | |||
| Jensen Alpha | 0.0786 | |||
| Total Risk Alpha | (0.26) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.8323 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Tata Chemicals' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Tata Chemicals Backtested Returns
At this point, Tata Chemicals is very steady. Tata Chemicals owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0414, which indicates the firm had a 0.0414% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Tata Chemicals Limited, which you can use to evaluate the volatility of the company. Please validate Tata Chemicals' Semi Deviation of 2.36, coefficient of variation of 2308.02, and Risk Adjusted Performance of 0.0398 to confirm if the risk estimate we provide is consistent with the expected return of 0.0981%. Tata Chemicals has a performance score of 3 on a scale of 0 to 100. The entity has a beta of 0.11, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Tata Chemicals' returns are expected to increase less than the market. However, during the bear market, the loss of holding Tata Chemicals is expected to be smaller as well. Tata Chemicals right now has a risk of 2.37%. Please validate Tata Chemicals value at risk, kurtosis, price action indicator, as well as the relationship between the semi variance and rate of daily change , to decide if Tata Chemicals will be following its existing price patterns.
Auto-correlation | -0.93 |
Near perfect reversele predictability
Tata Chemicals Limited has near perfect reversele predictability. Overlapping area represents the amount of predictability between Tata Chemicals time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd 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 Tata Chemicals price movement. The serial correlation of -0.93 indicates that approximately 93.0% of current Tata Chemicals price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.93 | |
| Spearman Rank Test | -0.9 | |
| Residual Average | 0.0 | |
| Price Variance | 641.47 |
Tata Chemicals lagged returns against current returns
Autocorrelation, which is Tata Chemicals 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 Tata Chemicals' stock expected returns. We can calculate the autocorrelation of Tata Chemicals returns to help us make a trade decision. For example, suppose you find that Tata Chemicals 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 |
Tata Chemicals 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 Tata Chemicals stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Tata Chemicals stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Tata Chemicals stock over time.
Current vs Lagged Prices |
| Timeline |
Tata Chemicals Lagged Returns
When evaluating Tata Chemicals' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Tata Chemicals stock have on its future price. Tata Chemicals 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, Tata Chemicals autocorrelation shows the relationship between Tata Chemicals stock current value and its past values and can show if there is a momentum factor associated with investing in Tata Chemicals Limited.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Tata Stock
Tata Chemicals financial ratios help investors to determine whether Tata Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Tata with respect to the benefits of owning Tata Chemicals security.