Electrosteel Castings (India) Market Value
| ELECTCAST | 144.93 0.98 0.68% |
| Symbol | Electrosteel |
Electrosteel Castings '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 Electrosteel Castings' 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 Electrosteel Castings.
| 09/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Electrosteel Castings on September 27, 2024 and sell it all today you would earn a total of 0.00 from holding Electrosteel Castings Limited or generate 0.0% return on investment in Electrosteel Castings over 60 days. Electrosteel Castings is related to or competes with NMDC, Steel Authority, Embassy Office, Gujarat Narmada, Gujarat Alkalies, Indian Metals, and JTL Industries. Electrosteel Castings is entity of India More
Electrosteel Castings 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 Electrosteel Castings' 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 Electrosteel Castings Limited upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 19.26 | |||
| Value At Risk | (5.21) | |||
| Potential Upside | 3.98 |
Electrosteel Castings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Electrosteel Castings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Electrosteel Castings' standard deviation. In reality, there are many statistical measures that can use Electrosteel Castings historical prices to predict the future Electrosteel Castings' volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.55) | |||
| Total Risk Alpha | (1.03) | |||
| Treynor Ratio | (2.95) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Electrosteel Castings' 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.
Electrosteel Castings Backtested Returns
Electrosteel Castings secures Sharpe Ratio (or Efficiency) of -0.19, which denotes the company had a -0.19% return per unit of risk over the last 3 months. Electrosteel Castings Limited exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Electrosteel Castings' Standard Deviation of 3.21, variance of 10.3, and Mean Deviation of 2.37 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.18, which means not very significant fluctuations relative to the market. As returns on the market increase, Electrosteel Castings' returns are expected to increase less than the market. However, during the bear market, the loss of holding Electrosteel Castings is expected to be smaller as well. At this point, Electrosteel Castings has a negative expected return of -0.6%. Please make sure to confirm Electrosteel Castings' total risk alpha, as well as the relationship between the kurtosis and day typical price , to decide if Electrosteel Castings performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.66 |
Good predictability
Electrosteel Castings Limited has good predictability. Overlapping area represents the amount of predictability between Electrosteel Castings time series from 27th of September 2024 to 27th of October 2024 and 27th of October 2024 to 26th of November 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 Electrosteel Castings price movement. The serial correlation of 0.66 indicates that around 66.0% of current Electrosteel Castings price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.79 | |
| Residual Average | 0.0 | |
| Price Variance | 135.55 |
Electrosteel Castings lagged returns against current returns
Autocorrelation, which is Electrosteel Castings 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 Electrosteel Castings' stock expected returns. We can calculate the autocorrelation of Electrosteel Castings returns to help us make a trade decision. For example, suppose you find that Electrosteel Castings 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 |
Electrosteel Castings 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 Electrosteel Castings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Electrosteel Castings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Electrosteel Castings stock over time.
Current vs Lagged Prices |
| Timeline |
Electrosteel Castings Lagged Returns
When evaluating Electrosteel Castings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Electrosteel Castings stock have on its future price. Electrosteel Castings 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, Electrosteel Castings autocorrelation shows the relationship between Electrosteel Castings stock current value and its past values and can show if there is a momentum factor associated with investing in Electrosteel Castings 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 Electrosteel Stock
Electrosteel Castings financial ratios help investors to determine whether Electrosteel 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 Electrosteel with respect to the benefits of owning Electrosteel Castings security.