NIFTY 8-13 (India) Market Value
| NIFGS813 | 2,800 2.10 0.07% |
| Symbol | NIFTY |
NIFTY 8-13 '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 NIFTY 8-13's index 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 NIFTY 8-13.
| 01/02/2025 |
| 03/03/2025 |
If you would invest 0.00 in NIFTY 8-13 on January 2, 2025 and sell it all today you would earn a total of 0.00 from holding NIFTY 8-13 YR or generate 0.0% return on investment in NIFTY 8-13 over 60 days.
NIFTY 8-13 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 NIFTY 8-13's index 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 NIFTY 8-13 YR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1357 | |||
| Information Ratio | 0.326 | |||
| Maximum Drawdown | 0.908 | |||
| Value At Risk | (0.19) | |||
| Potential Upside | 0.259 |
NIFTY 8-13 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NIFTY 8-13's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NIFTY 8-13's standard deviation. In reality, there are many statistical measures that can use NIFTY 8-13 historical prices to predict the future NIFTY 8-13's volatility.| Risk Adjusted Performance | 0.1345 | |||
| Total Risk Alpha | 0.0294 | |||
| Sortino Ratio | 0.3521 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of NIFTY 8-13'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.
NIFTY 8-13 YR Backtested Returns
NIFTY 8-13 YR has Sharpe Ratio of 0.17, which conveys that the entity had a 0.17 % return per unit of risk over the last 3 months. We have found twenty-five technical indicators for NIFTY 8-13, which you can use to evaluate the volatility of the index. The index secures a Beta (Market Risk) of 0.0, which conveys not very significant fluctuations relative to the market. the returns on MARKET and NIFTY 8-13 are completely uncorrelated.
Auto-correlation | 0.62 |
Good predictability
NIFTY 8-13 YR has good predictability. Overlapping area represents the amount of predictability between NIFTY 8-13 time series from 2nd of January 2025 to 1st of February 2025 and 1st of February 2025 to 3rd of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of NIFTY 8-13 YR price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current NIFTY 8-13 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.62 | |
| Spearman Rank Test | 0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 7.96 |
NIFTY 8-13 YR lagged returns against current returns
Autocorrelation, which is NIFTY 8-13 index'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 NIFTY 8-13's index expected returns. We can calculate the autocorrelation of NIFTY 8-13 returns to help us make a trade decision. For example, suppose you find that NIFTY 8-13 has exhibited high autocorrelation historically, and you observe that the index 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 |
NIFTY 8-13 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 NIFTY 8-13 index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NIFTY 8-13 index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NIFTY 8-13 index over time.
Current vs Lagged Prices |
| Timeline |
NIFTY 8-13 Lagged Returns
When evaluating NIFTY 8-13's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NIFTY 8-13 index have on its future price. NIFTY 8-13 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, NIFTY 8-13 autocorrelation shows the relationship between NIFTY 8-13 index current value and its past values and can show if there is a momentum factor associated with investing in NIFTY 8-13 YR.
Regressed Prices |
| Timeline |