Nippon India (India) Market Value
| ITBEES Etf | 46.46 0.19 0.41% |
| Symbol | Nippon |
Nippon India '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 Nippon India's etf 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 Nippon India.
| 06/04/2024 |
| 12/01/2024 |
If you would invest 0.00 in Nippon India on June 4, 2024 and sell it all today you would earn a total of 0.00 from holding Nippon India Mutual or generate 0.0% return on investment in Nippon India over 180 days.
Nippon India 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 Nippon India's etf 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 Nippon India Mutual upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.15 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 6.27 | |||
| Value At Risk | (2.29) | |||
| Potential Upside | 1.83 |
Nippon India Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nippon India's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nippon India's standard deviation. In reality, there are many statistical measures that can use Nippon India historical prices to predict the future Nippon India's volatility.| Risk Adjusted Performance | 0.0305 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.0512 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Nippon India's 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.
Nippon India Mutual Backtested Returns
At this point, Nippon India is very steady. Nippon India Mutual has Sharpe Ratio of 0.0195, which conveys that the entity had a 0.0195% return per unit of risk over the last 3 months. We have found thirty technical indicators for Nippon India, which you can use to evaluate the volatility of the etf. Please verify Nippon India's Mean Deviation of 0.8338, risk adjusted performance of 0.0305, and Downside Deviation of 1.15 to check out if the risk estimate we provide is consistent with the expected return of 0.0231%. The etf secures a Beta (Market Risk) of 0.61, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Nippon India's returns are expected to increase less than the market. However, during the bear market, the loss of holding Nippon India is expected to be smaller as well.
Auto-correlation | 0.03 |
Virtually no predictability
Nippon India Mutual has virtually no predictability. Overlapping area represents the amount of predictability between Nippon India time series from 4th of June 2024 to 2nd of September 2024 and 2nd of September 2024 to 1st 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 Nippon India Mutual price movement. The serial correlation of 0.03 indicates that only 3.0% of current Nippon India price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.03 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.61 |
Nippon India Mutual lagged returns against current returns
Autocorrelation, which is Nippon India etf'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 Nippon India's etf expected returns. We can calculate the autocorrelation of Nippon India returns to help us make a trade decision. For example, suppose you find that Nippon India has exhibited high autocorrelation historically, and you observe that the etf 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 |
Nippon India 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 Nippon India etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nippon India etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nippon India etf over time.
Current vs Lagged Prices |
| Timeline |
Nippon India Lagged Returns
When evaluating Nippon India's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nippon India etf have on its future price. Nippon India 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, Nippon India autocorrelation shows the relationship between Nippon India etf current value and its past values and can show if there is a momentum factor associated with investing in Nippon India Mutual.
Regressed Prices |
| Timeline |