ICICI Securities (India) Market Value
| ISEC Stock | 875.00 1.20 0.14% |
| Symbol | ICICI |
ICICI Securities '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 ICICI Securities' 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 ICICI Securities.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in ICICI Securities on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding ICICI Securities Limited or generate 0.0% return on investment in ICICI Securities over 720 days. ICICI Securities is related to or competes with MRF, Nalwa Sons, and Vardhman Holdings. ICICI Securities is entity of India. It is traded as Stock on NSE exchange. More
ICICI Securities 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 ICICI Securities' 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 ICICI Securities Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.18 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 6.14 | |||
| Value At Risk | (1.96) | |||
| Potential Upside | 2.6 |
ICICI Securities Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ICICI Securities' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ICICI Securities' standard deviation. In reality, there are many statistical measures that can use ICICI Securities historical prices to predict the future ICICI Securities' volatility.| Risk Adjusted Performance | 0.081 | |||
| Jensen Alpha | 0.1202 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | (6.79) |
ICICI Securities Backtested Returns
Currently, ICICI Securities Limited is very steady. ICICI Securities holds Efficiency (Sharpe) Ratio of 0.0816, which attests that the company had a 0.0816% return per unit of risk over the last 3 months. We have found thirty technical indicators for ICICI Securities, which you can use to evaluate the volatility of the entity. Please check out ICICI Securities' downside deviation of 1.18, and Semi Deviation of 1.05 to validate if the risk estimate we provide is consistent with the expected return of 0.11%. ICICI Securities has a performance score of 6 on a scale of 0 to 100. The firm retains a Market Volatility (i.e., Beta) of -0.0174, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ICICI Securities are expected to decrease at a much lower rate. During the bear market, ICICI Securities is likely to outperform the market. ICICI Securities at this time retains a risk of 1.3%. Please check out ICICI Securities coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if ICICI Securities will be following its current trending patterns.
Auto-correlation | 0.75 |
Good predictability
ICICI Securities Limited has good predictability. Overlapping area represents the amount of predictability between ICICI Securities time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th 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 ICICI Securities price movement. The serial correlation of 0.75 indicates that around 75.0% of current ICICI Securities price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.75 | |
| Spearman Rank Test | 0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 3294.04 |
ICICI Securities lagged returns against current returns
Autocorrelation, which is ICICI Securities 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 ICICI Securities' stock expected returns. We can calculate the autocorrelation of ICICI Securities returns to help us make a trade decision. For example, suppose you find that ICICI Securities 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 |
ICICI Securities 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 ICICI Securities stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ICICI Securities stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ICICI Securities stock over time.
Current vs Lagged Prices |
| Timeline |
ICICI Securities Lagged Returns
When evaluating ICICI Securities' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ICICI Securities stock have on its future price. ICICI Securities 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, ICICI Securities autocorrelation shows the relationship between ICICI Securities stock current value and its past values and can show if there is a momentum factor associated with investing in ICICI Securities 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.Additional Tools for ICICI Stock Analysis
When running ICICI Securities' price analysis, check to measure ICICI Securities' 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 ICICI Securities is operating at the current time. Most of ICICI Securities' value examination focuses on studying past and present price action to predict the probability of ICICI Securities' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ICICI Securities' price. Additionally, you may evaluate how the addition of ICICI Securities to your portfolios can decrease your overall portfolio volatility.