NIFTY MNC (India) Market Value
| NIFTYMNC | 29,519 271.40 0.93% |
| Symbol | NIFTY |
NIFTY MNC '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 MNC'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 MNC.
| 10/13/2024 |
| 12/12/2024 |
If you would invest 0.00 in NIFTY MNC on October 13, 2024 and sell it all today you would earn a total of 0.00 from holding NIFTY MNC or generate 0.0% return on investment in NIFTY MNC over 60 days.
NIFTY MNC 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 MNC'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 MNC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 3.95 | |||
| Value At Risk | (1.63) | |||
| Potential Upside | 1.32 |
NIFTY MNC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NIFTY MNC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NIFTY MNC's standard deviation. In reality, there are many statistical measures that can use NIFTY MNC historical prices to predict the future NIFTY MNC's volatility.| Risk Adjusted Performance | (0.07) | |||
| Total Risk Alpha | (0.26) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of NIFTY MNC'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 MNC Backtested Returns
NIFTY MNC has Sharpe Ratio of -0.1, which conveys that the entity had a -0.1% return per unit of risk over the last 3 months. NIFTY MNC exposes eighteen 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 MNC are completely uncorrelated.
Auto-correlation | -0.81 |
Excellent reverse predictability
NIFTY MNC has excellent reverse predictability. Overlapping area represents the amount of predictability between NIFTY MNC 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 MNC price movement. The serial correlation of -0.81 indicates that around 81.0% of current NIFTY MNC price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.81 | |
| Spearman Rank Test | -0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 380.1 K |
NIFTY MNC lagged returns against current returns
Autocorrelation, which is NIFTY MNC 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 MNC's index expected returns. We can calculate the autocorrelation of NIFTY MNC returns to help us make a trade decision. For example, suppose you find that NIFTY MNC 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 MNC 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 MNC index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NIFTY MNC index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NIFTY MNC index over time.
Current vs Lagged Prices |
| Timeline |
NIFTY MNC Lagged Returns
When evaluating NIFTY MNC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NIFTY MNC index have on its future price. NIFTY MNC 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 MNC autocorrelation shows the relationship between NIFTY MNC index current value and its past values and can show if there is a momentum factor associated with investing in NIFTY MNC.
Regressed Prices |
| Timeline |