Voltas (India) Market Value
| VOLTAS Stock | 1,797 28.50 1.61% |
| Symbol | Voltas |
Voltas '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 Voltas' 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 Voltas.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Voltas on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Voltas Limited or generate 0.0% return on investment in Voltas over 30 days. Voltas is related to or competes with Reliance Industries, Oil Natural, Indo Borax, Kingfa Science, Alkali Metals, Krebs Biochemicals, and KNR Constructions. Voltas is entity of India. It is traded as Stock on NSE exchange. More
Voltas 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 Voltas' 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 Voltas Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.69 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 8.09 | |||
| Value At Risk | (2.90) | |||
| Potential Upside | 2.86 |
Voltas Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Voltas' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Voltas' standard deviation. In reality, there are many statistical measures that can use Voltas historical prices to predict the future Voltas' volatility.| Risk Adjusted Performance | 0.0069 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.29) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | (0.02) |
Voltas Limited Backtested Returns
Voltas Limited owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0356, which indicates the firm had a -0.0356% return per unit of risk over the last 3 months. Voltas Limited exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Voltas' Semi Deviation of 1.66, coefficient of variation of 74847.57, and Risk Adjusted Performance of 0.0069 to confirm the risk estimate we provide. The entity has a beta of 0.35, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Voltas' returns are expected to increase less than the market. However, during the bear market, the loss of holding Voltas is expected to be smaller as well. At this point, Voltas Limited has a negative expected return of -0.0647%. Please make sure to validate Voltas' treynor ratio, kurtosis, relative strength index, as well as the relationship between the downside variance and day median price , to decide if Voltas Limited performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.39 |
Poor reverse predictability
Voltas Limited has poor reverse predictability. Overlapping area represents the amount of predictability between Voltas time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 Voltas Limited price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Voltas price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 1146.79 |
Voltas Limited lagged returns against current returns
Autocorrelation, which is Voltas 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 Voltas' stock expected returns. We can calculate the autocorrelation of Voltas returns to help us make a trade decision. For example, suppose you find that Voltas 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 |
Voltas 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 Voltas stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Voltas stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Voltas stock over time.
Current vs Lagged Prices |
| Timeline |
Voltas Lagged Returns
When evaluating Voltas' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Voltas stock have on its future price. Voltas 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, Voltas autocorrelation shows the relationship between Voltas stock current value and its past values and can show if there is a momentum factor associated with investing in Voltas Limited.
Regressed Prices |
| Timeline |
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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 Voltas Stock
Voltas financial ratios help investors to determine whether Voltas 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 Voltas with respect to the benefits of owning Voltas security.