Indian Railway (India) Market Value
| IRFC Stock | 147.28 2.06 1.38% |
| Symbol | Indian |
Indian Railway '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 Indian Railway'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 Indian Railway.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in Indian Railway on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding Indian Railway Finance or generate 0.0% return on investment in Indian Railway over 360 days. Indian Railway is related to or competes with Alkali Metals, One 97, Metalyst Forgings, Uniinfo Telecom, Shivalik Bimetal, Consolidated Construction, and KNR Constructions. More
Indian Railway 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 Indian Railway'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 Indian Railway Finance upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 11.19 | |||
| Value At Risk | (3.66) | |||
| Potential Upside | 4.98 |
Indian Railway Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Indian Railway's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Indian Railway's standard deviation. In reality, there are many statistical measures that can use Indian Railway historical prices to predict the future Indian Railway's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.24) | |||
| Total Risk Alpha | (0.61) | |||
| Treynor Ratio | 1.75 |
Indian Railway Finance Backtested Returns
Indian Railway Finance holds Efficiency (Sharpe) Ratio of -0.1, which attests that the entity had a -0.1% return per unit of risk over the last 3 months. Indian Railway Finance exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Indian Railway's Risk Adjusted Performance of (0.07), standard deviation of 2.36, and Market Risk Adjusted Performance of 1.76 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.15, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Indian Railway are expected to decrease at a much lower rate. During the bear market, Indian Railway is likely to outperform the market. At this point, Indian Railway Finance has a negative expected return of -0.25%. Please make sure to check out Indian Railway's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Indian Railway Finance performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.23 |
Weak reverse predictability
Indian Railway Finance has weak reverse predictability. Overlapping area represents the amount of predictability between Indian Railway time series from 9th of December 2023 to 6th of June 2024 and 6th of June 2024 to 3rd 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 Indian Railway Finance price movement. The serial correlation of -0.23 indicates that over 23.0% of current Indian Railway price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | -0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 350.57 |
Indian Railway Finance lagged returns against current returns
Autocorrelation, which is Indian Railway 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 Indian Railway's stock expected returns. We can calculate the autocorrelation of Indian Railway returns to help us make a trade decision. For example, suppose you find that Indian Railway 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 |
Indian Railway 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 Indian Railway stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Indian Railway stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Indian Railway stock over time.
Current vs Lagged Prices |
| Timeline |
Indian Railway Lagged Returns
When evaluating Indian Railway's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Indian Railway stock have on its future price. Indian Railway 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, Indian Railway autocorrelation shows the relationship between Indian Railway stock current value and its past values and can show if there is a momentum factor associated with investing in Indian Railway Finance.
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.Additional Tools for Indian Stock Analysis
When running Indian Railway's price analysis, check to measure Indian Railway's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Indian Railway is operating at the current time. Most of Indian Railway's value examination focuses on studying past and present price action to predict the probability of Indian Railway's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Indian Railway's price. Additionally, you may evaluate how the addition of Indian Railway to your portfolios can decrease your overall portfolio volatility.