TATA SUMER (India) Market Value
| TATACONSUM | 907.95 7.00 0.78% |
| Symbol | TATA |
TATA SUMER '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 SUMER'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 SUMER.
| 01/09/2023 |
| 12/29/2024 |
If you would invest 0.00 in TATA SUMER on January 9, 2023 and sell it all today you would earn a total of 0.00 from holding TATA SUMER PRODUCTS or generate 0.0% return on investment in TATA SUMER over 720 days. TATA SUMER is related to or competes with Reliance Industries, State Bank, HDFC Bank, Oil Natural, Coal India, and Tata Consultancy. TATA SUMER is entity of India. It is traded as Stock on NSE exchange. More
TATA SUMER 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 SUMER'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 SUMER PRODUCTS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.27) | |||
| Maximum Drawdown | 8.97 | |||
| Value At Risk | (2.91) | |||
| Potential Upside | 1.87 |
TATA SUMER Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TATA SUMER's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TATA SUMER's standard deviation. In reality, there are many statistical measures that can use TATA SUMER historical prices to predict the future TATA SUMER's volatility.| Risk Adjusted Performance | (0.19) | |||
| Jensen Alpha | (0.44) | |||
| Total Risk Alpha | (0.48) | |||
| Treynor Ratio | (2.26) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of TATA SUMER'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 SUMER PRODUCTS Backtested Returns
TATA SUMER PRODUCTS owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.25, which indicates the company had a -0.25% return per unit of standard deviation over the last 3 months. TATA SUMER PRODUCTS exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate TATA SUMER's Standard Deviation of 1.68, risk adjusted performance of (0.19), and Market Risk Adjusted Performance of (2.25) to confirm the risk estimate we provide. The firm has a beta of 0.19, which indicates not very significant fluctuations relative to the market. As returns on the market increase, TATA SUMER's returns are expected to increase less than the market. However, during the bear market, the loss of holding TATA SUMER is expected to be smaller as well. At this point, TATA SUMER PRODUCTS has a negative expected return of -0.42%. Please make sure to validate TATA SUMER's kurtosis, as well as the relationship between the rate of daily change and market facilitation index , to decide if TATA SUMER PRODUCTS performance from the past will be repeated at future time.
Auto-correlation | -0.57 |
Good reverse predictability
TATA SUMER PRODUCTS has good reverse predictability. Overlapping area represents the amount of predictability between TATA SUMER time series from 9th of January 2023 to 4th of January 2024 and 4th of January 2024 to 29th 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 TATA SUMER PRODUCTS price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current TATA SUMER price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.57 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 7708.31 |
TATA SUMER PRODUCTS lagged returns against current returns
Autocorrelation, which is TATA SUMER 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 SUMER's stock expected returns. We can calculate the autocorrelation of TATA SUMER returns to help us make a trade decision. For example, suppose you find that TATA SUMER 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 SUMER 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 SUMER stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TATA SUMER stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TATA SUMER stock over time.
Current vs Lagged Prices |
| Timeline |
TATA SUMER Lagged Returns
When evaluating TATA SUMER's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TATA SUMER stock have on its future price. TATA SUMER 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 SUMER autocorrelation shows the relationship between TATA SUMER stock current value and its past values and can show if there is a momentum factor associated with investing in TATA SUMER PRODUCTS.
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 SUMER 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 SUMER security.