Larsen Toubro (India) Market Value
| LT Stock | 3,725 58.75 1.60% |
| Symbol | Larsen |
Larsen Toubro '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 Larsen Toubro'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 Larsen Toubro.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in Larsen Toubro on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding Larsen Toubro Limited or generate 0.0% return on investment in Larsen Toubro over 360 days. Larsen Toubro is related to or competes with Orissa Minerals, Malu Paper, Kingfa Science, Rico Auto, GACM Technologies, COSMO FIRST, and Delta Manufacturing. Larsen Toubro is entity of India. It is traded as Stock on NSE exchange. More
Larsen Toubro 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 Larsen Toubro'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 Larsen Toubro Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.37 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 7.71 | |||
| Value At Risk | (1.65) | |||
| Potential Upside | 2.99 |
Larsen Toubro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Larsen Toubro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Larsen Toubro's standard deviation. In reality, there are many statistical measures that can use Larsen Toubro historical prices to predict the future Larsen Toubro's volatility.| Risk Adjusted Performance | 0.0182 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.25) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.0341 |
Larsen Toubro Limited Backtested Returns
At this point, Larsen Toubro is very steady. Larsen Toubro Limited has Sharpe Ratio of 0.0187, which conveys that the firm had a 0.0187% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Larsen Toubro, which you can use to evaluate the volatility of the firm. Please verify Larsen Toubro's Mean Deviation of 1.1, risk adjusted performance of 0.0182, and Downside Deviation of 1.37 to check out if the risk estimate we provide is consistent with the expected return of 0.0305%. Larsen Toubro has a performance score of 1 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.5, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Larsen Toubro's returns are expected to increase less than the market. However, during the bear market, the loss of holding Larsen Toubro is expected to be smaller as well. Larsen Toubro Limited right now secures a risk of 1.63%. Please verify Larsen Toubro Limited value at risk, as well as the relationship between the skewness and day median price , to decide if Larsen Toubro Limited will be following its current price movements.
Auto-correlation | 0.29 |
Poor predictability
Larsen Toubro Limited has poor predictability. Overlapping area represents the amount of predictability between Larsen Toubro time series from 7th of December 2023 to 4th of June 2024 and 4th of June 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 Larsen Toubro Limited price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Larsen Toubro price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 9361.29 |
Larsen Toubro Limited lagged returns against current returns
Autocorrelation, which is Larsen Toubro 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 Larsen Toubro's stock expected returns. We can calculate the autocorrelation of Larsen Toubro returns to help us make a trade decision. For example, suppose you find that Larsen Toubro 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 |
Larsen Toubro 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 Larsen Toubro stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Larsen Toubro stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Larsen Toubro stock over time.
Current vs Lagged Prices |
| Timeline |
Larsen Toubro Lagged Returns
When evaluating Larsen Toubro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Larsen Toubro stock have on its future price. Larsen Toubro 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, Larsen Toubro autocorrelation shows the relationship between Larsen Toubro stock current value and its past values and can show if there is a momentum factor associated with investing in Larsen Toubro 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 Larsen Stock
Larsen Toubro financial ratios help investors to determine whether Larsen 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 Larsen with respect to the benefits of owning Larsen Toubro security.