UltraTech Cement (India) Market Value
| ULTRACEMCO | 11,202 136.15 1.23% |
| Symbol | UltraTech |
UltraTech Cement '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 UltraTech Cement'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 UltraTech Cement.
| 01/07/2024 |
| 12/02/2024 |
If you would invest 0.00 in UltraTech Cement on January 7, 2024 and sell it all today you would earn a total of 0.00 from holding UltraTech Cement Limited or generate 0.0% return on investment in UltraTech Cement over 330 days. UltraTech Cement is related to or competes with NMDC, Steel Authority, Embassy Office, Indian Metals, and JTL Industries. UltraTech Cement is entity of India. It is traded as Stock on NSE exchange. More
UltraTech Cement 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 UltraTech Cement'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 UltraTech Cement Limited upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 6.31 | |||
| Value At Risk | (2.21) | |||
| Potential Upside | 1.97 |
UltraTech Cement Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for UltraTech Cement's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as UltraTech Cement's standard deviation. In reality, there are many statistical measures that can use UltraTech Cement historical prices to predict the future UltraTech Cement's volatility.| Risk Adjusted Performance | 4.0E-4 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | (0.24) |
UltraTech Cement Backtested Returns
UltraTech Cement owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0207, which indicates the firm had a -0.0207% return per unit of risk over the last 3 months. UltraTech Cement Limited exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate UltraTech Cement's Coefficient Of Variation of (22,359), variance of 1.55, and Risk Adjusted Performance of 4.0E-4 to confirm the risk estimate we provide. The entity has a beta of 0.0637, which indicates not very significant fluctuations relative to the market. As returns on the market increase, UltraTech Cement's returns are expected to increase less than the market. However, during the bear market, the loss of holding UltraTech Cement is expected to be smaller as well. At this point, UltraTech Cement has a negative expected return of -0.0262%. Please make sure to validate UltraTech Cement's accumulation distribution, as well as the relationship between the day typical price and relative strength index , to decide if UltraTech Cement performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.26 |
Weak reverse predictability
UltraTech Cement Limited has weak reverse predictability. Overlapping area represents the amount of predictability between UltraTech Cement time series from 7th of January 2024 to 20th of June 2024 and 20th of June 2024 to 2nd 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 UltraTech Cement price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current UltraTech Cement price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.26 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 108.9 K |
UltraTech Cement lagged returns against current returns
Autocorrelation, which is UltraTech Cement 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 UltraTech Cement's stock expected returns. We can calculate the autocorrelation of UltraTech Cement returns to help us make a trade decision. For example, suppose you find that UltraTech Cement 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 |
UltraTech Cement 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 UltraTech Cement stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if UltraTech Cement stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in UltraTech Cement stock over time.
Current vs Lagged Prices |
| Timeline |
UltraTech Cement Lagged Returns
When evaluating UltraTech Cement's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of UltraTech Cement stock have on its future price. UltraTech Cement 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, UltraTech Cement autocorrelation shows the relationship between UltraTech Cement stock current value and its past values and can show if there is a momentum factor associated with investing in UltraTech Cement 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 UltraTech Stock
UltraTech Cement financial ratios help investors to determine whether UltraTech 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 UltraTech with respect to the benefits of owning UltraTech Cement security.