Samvardhana Motherson (India) Market Value
| MOTHERSON | 166.81 0.59 0.35% |
| Symbol | Samvardhana |
Samvardhana Motherson '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 Samvardhana Motherson'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 Samvardhana Motherson.
| 09/12/2024 |
| 12/11/2024 |
If you would invest 0.00 in Samvardhana Motherson on September 12, 2024 and sell it all today you would earn a total of 0.00 from holding Samvardhana Motherson International or generate 0.0% return on investment in Samvardhana Motherson over 90 days. Samvardhana Motherson is related to or competes with Mangalore Chemicals, TVS Electronics, SBI Life, HDFC Life, Tata Chemicals, JGCHEMICALS, and Biofil Chemicals. More
Samvardhana Motherson 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 Samvardhana Motherson'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 Samvardhana Motherson International upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 10.43 | |||
| Value At Risk | (2.81) | |||
| Potential Upside | 3.27 |
Samvardhana Motherson Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samvardhana Motherson's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samvardhana Motherson's standard deviation. In reality, there are many statistical measures that can use Samvardhana Motherson historical prices to predict the future Samvardhana Motherson's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.19) | |||
| Total Risk Alpha | (0.50) | |||
| Treynor Ratio | 5.33 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Samvardhana Motherson'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.
Samvardhana Motherson Backtested Returns
Samvardhana Motherson owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0946, which indicates the firm had a -0.0946% return per unit of risk over the last 3 months. Samvardhana Motherson International exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Samvardhana Motherson's Coefficient Of Variation of (1,057), variance of 3.81, and Risk Adjusted Performance of (0.06) to confirm the risk estimate we provide. The entity has a beta of -0.0365, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Samvardhana Motherson are expected to decrease at a much lower rate. During the bear market, Samvardhana Motherson is likely to outperform the market. At this point, Samvardhana Motherson has a negative expected return of -0.18%. Please make sure to validate Samvardhana Motherson's potential upside, as well as the relationship between the daily balance of power and price action indicator , to decide if Samvardhana Motherson performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.4 |
Poor reverse predictability
Samvardhana Motherson International has poor reverse predictability. Overlapping area represents the amount of predictability between Samvardhana Motherson time series from 12th of September 2024 to 27th of October 2024 and 27th of October 2024 to 11th 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 Samvardhana Motherson price movement. The serial correlation of -0.4 indicates that just about 40.0% of current Samvardhana Motherson price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.4 | |
| Spearman Rank Test | 0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 90.39 |
Samvardhana Motherson lagged returns against current returns
Autocorrelation, which is Samvardhana Motherson 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 Samvardhana Motherson's stock expected returns. We can calculate the autocorrelation of Samvardhana Motherson returns to help us make a trade decision. For example, suppose you find that Samvardhana Motherson 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 |
Samvardhana Motherson 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 Samvardhana Motherson stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samvardhana Motherson stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samvardhana Motherson stock over time.
Current vs Lagged Prices |
| Timeline |
Samvardhana Motherson Lagged Returns
When evaluating Samvardhana Motherson's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samvardhana Motherson stock have on its future price. Samvardhana Motherson 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, Samvardhana Motherson autocorrelation shows the relationship between Samvardhana Motherson stock current value and its past values and can show if there is a momentum factor associated with investing in Samvardhana Motherson International.
Regressed Prices |
| Timeline |
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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 Samvardhana Stock Analysis
When running Samvardhana Motherson's price analysis, check to measure Samvardhana Motherson's 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 Samvardhana Motherson is operating at the current time. Most of Samvardhana Motherson's value examination focuses on studying past and present price action to predict the probability of Samvardhana Motherson's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Samvardhana Motherson's price. Additionally, you may evaluate how the addition of Samvardhana Motherson to your portfolios can decrease your overall portfolio volatility.