Aditya Birla (India) Market Value
| NIFTYQLITY | 21.84 0.09 0.41% |
| Symbol | Aditya |
Aditya Birla '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 Aditya Birla's etf 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 Aditya Birla.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in Aditya Birla on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding Aditya Birla Sun or generate 0.0% return on investment in Aditya Birla over 360 days.
Aditya Birla 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 Aditya Birla's etf 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 Aditya Birla Sun upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.28) | |||
| Maximum Drawdown | 3.63 | |||
| Value At Risk | (1.29) | |||
| Potential Upside | 1.19 |
Aditya Birla Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aditya Birla's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aditya Birla's standard deviation. In reality, there are many statistical measures that can use Aditya Birla historical prices to predict the future Aditya Birla's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.16) | |||
| Total Risk Alpha | (0.23) | |||
| Treynor Ratio | (0.20) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aditya Birla'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.
Aditya Birla Sun Backtested Returns
Aditya Birla Sun secures Sharpe Ratio (or Efficiency) of -0.13, which signifies that the etf had a -0.13% return per unit of risk over the last 3 months. Aditya Birla Sun exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Aditya Birla's Mean Deviation of 0.5989, risk adjusted performance of (0.08), and Standard Deviation of 0.7909 to double-check the risk estimate we provide. The etf shows a Beta (market volatility) of 0.47, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Aditya Birla's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aditya Birla is expected to be smaller as well.
Auto-correlation | 0.24 |
Weak predictability
Aditya Birla Sun has weak predictability. Overlapping area represents the amount of predictability between Aditya Birla 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 Aditya Birla Sun price movement. The serial correlation of 0.24 indicates that over 24.0% of current Aditya Birla price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | 0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 1.02 |
Aditya Birla Sun lagged returns against current returns
Autocorrelation, which is Aditya Birla etf'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 Aditya Birla's etf expected returns. We can calculate the autocorrelation of Aditya Birla returns to help us make a trade decision. For example, suppose you find that Aditya Birla has exhibited high autocorrelation historically, and you observe that the etf 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 |
Aditya Birla 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 Aditya Birla etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aditya Birla etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aditya Birla etf over time.
Current vs Lagged Prices |
| Timeline |
Aditya Birla Lagged Returns
When evaluating Aditya Birla's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aditya Birla etf have on its future price. Aditya Birla 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, Aditya Birla autocorrelation shows the relationship between Aditya Birla etf current value and its past values and can show if there is a momentum factor associated with investing in Aditya Birla Sun.
Regressed Prices |
| Timeline |