NIFTY 100 (India) Market Value
| NIFTY100 | 25,536 99.10 0.39% |
| Symbol | NIFTY |
NIFTY 100 '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 100'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 100.
| 10/13/2024 |
| 12/12/2024 |
If you would invest 0.00 in NIFTY 100 on October 13, 2024 and sell it all today you would earn a total of 0.00 from holding NIFTY 100 or generate 0.0% return on investment in NIFTY 100 over 60 days.
NIFTY 100 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 100'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 100 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 3.98 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.37 |
NIFTY 100 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NIFTY 100's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NIFTY 100's standard deviation. In reality, there are many statistical measures that can use NIFTY 100 historical prices to predict the future NIFTY 100's volatility.| Risk Adjusted Performance | (0.01) | |||
| Total Risk Alpha | (0.16) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of NIFTY 100'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 100 Backtested Returns
NIFTY 100 has Sharpe Ratio of -0.0623, which conveys that the entity had a -0.0623% return per unit of risk over the last 3 months. NIFTY 100 exposes nineteen different technical indicators, which can help you to evaluate volatility embedded in its price movement. 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 100 are completely uncorrelated.
Auto-correlation | -0.82 |
Excellent reverse predictability
NIFTY 100 has excellent reverse predictability. Overlapping area represents the amount of predictability between NIFTY 100 time series from 13th of October 2024 to 12th of November 2024 and 12th of November 2024 to 12th 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 NIFTY 100 price movement. The serial correlation of -0.82 indicates that around 82.0% of current NIFTY 100 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.82 | |
| Spearman Rank Test | -0.79 | |
| Residual Average | 0.0 | |
| Price Variance | 254.2 K |
NIFTY 100 lagged returns against current returns
Autocorrelation, which is NIFTY 100 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 100's index expected returns. We can calculate the autocorrelation of NIFTY 100 returns to help us make a trade decision. For example, suppose you find that NIFTY 100 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 100 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 100 index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NIFTY 100 index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NIFTY 100 index over time.
Current vs Lagged Prices |
| Timeline |
NIFTY 100 Lagged Returns
When evaluating NIFTY 100's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NIFTY 100 index have on its future price. NIFTY 100 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 100 autocorrelation shows the relationship between NIFTY 100 index current value and its past values and can show if there is a momentum factor associated with investing in NIFTY 100.
Regressed Prices |
| Timeline |