Tata Steel (India) Market Value
| TATASTEEL | 144.54 1.15 0.80% |
| Symbol | Tata |
Tata Steel '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 Tata Steel'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 Tata Steel.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in Tata Steel on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding Tata Steel Limited or generate 0.0% return on investment in Tata Steel over 180 days. Tata Steel is related to or competes with Kewal Kiran, Styrenix Performance, Indian Card, Advani Hotels, and Samhi Hotels. Tata Steel is entity of India. It is traded as Stock on NSE exchange. More
Tata Steel 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 Tata Steel'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 Tata Steel Limited upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 7.89 | |||
| Value At Risk | (2.24) | |||
| Potential Upside | 2.4 |
Tata Steel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Tata Steel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Tata Steel's standard deviation. In reality, there are many statistical measures that can use Tata Steel historical prices to predict the future Tata Steel's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.34) | |||
| Treynor Ratio | (0.30) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Tata Steel'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.
Tata Steel Limited Backtested Returns
Tata Steel Limited owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0494, which indicates the firm had a -0.0494% return per unit of risk over the last 3 months. Tata Steel Limited exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Tata Steel's Coefficient Of Variation of (1,821), risk adjusted performance of (0.04), and Variance of 2.21 to confirm the risk estimate we provide. The entity has a beta of 0.31, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Tata Steel's returns are expected to increase less than the market. However, during the bear market, the loss of holding Tata Steel is expected to be smaller as well. At this point, Tata Steel Limited has a negative expected return of -0.0746%. Please make sure to validate Tata Steel's value at risk, daily balance of power, as well as the relationship between the Daily Balance Of Power and price action indicator , to decide if Tata Steel Limited performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.64 |
Good predictability
Tata Steel Limited has good predictability. Overlapping area represents the amount of predictability between Tata Steel time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 2024 to 30th of November 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 Tata Steel Limited price movement. The serial correlation of 0.64 indicates that roughly 64.0% of current Tata Steel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.64 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 56.61 |
Tata Steel Limited lagged returns against current returns
Autocorrelation, which is Tata Steel 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 Tata Steel's stock expected returns. We can calculate the autocorrelation of Tata Steel returns to help us make a trade decision. For example, suppose you find that Tata Steel 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 |
Tata Steel 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 Tata Steel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Tata Steel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Tata Steel stock over time.
Current vs Lagged Prices |
| Timeline |
Tata Steel Lagged Returns
When evaluating Tata Steel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Tata Steel stock have on its future price. Tata Steel 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, Tata Steel autocorrelation shows the relationship between Tata Steel stock current value and its past values and can show if there is a momentum factor associated with investing in Tata Steel Limited.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Tata Stock
Tata Steel financial ratios help investors to determine whether Tata Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Tata with respect to the benefits of owning Tata Steel security.