Indian Railway (India) Market Value
| IRFC Stock | 177.80 1.20 0.68% |
| 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.
| 03/04/2024 |
| 06/02/2024 |
If you would invest 0.00 in Indian Railway on March 4, 2024 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 90 days. Indian Railway is related to or competes with State Bank, Life Insurance, ICICI Bank, and Reliance Industries. Indian Railway is entity of India. It is traded as Stock on NSE exchange. 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.
| Downside Deviation | 2.55 | |||
| Information Ratio | 0.0669 | |||
| Maximum Drawdown | 17.67 | |||
| Value At Risk | (3.37) | |||
| Potential Upside | 6.18 |
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 | 0.0586 | |||
| Jensen Alpha | 0.2503 | |||
| Total Risk Alpha | 0.0692 | |||
| Sortino Ratio | 0.0848 | |||
| Treynor Ratio | 5.66 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Indian Railway'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.
Indian Railway Finance Backtested Returns
Indian Railway appears to be very steady, given 3 months investment horizon. Indian Railway Finance holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found thirty technical indicators for Indian Railway Finance, which you can use to evaluate the volatility of the firm. Please utilize Indian Railway's Downside Deviation of 2.55, market risk adjusted performance of 5.67, and Risk Adjusted Performance of 0.0586 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Indian Railway holds a performance score of 9. The company retains a Market Volatility (i.e., Beta) of 0.0445, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Indian Railway's returns are expected to increase less than the market. However, during the bear market, the loss of holding Indian Railway is expected to be smaller as well. Please check Indian Railway's semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to make a quick decision on whether Indian Railway's current trending patterns will revert.
Auto-correlation | 0.25 |
Poor predictability
Indian Railway Finance has poor predictability. Overlapping area represents the amount of predictability between Indian Railway time series from 4th of March 2024 to 18th of April 2024 and 18th of April 2024 to 2nd of June 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 0.25 indicates that over 25.0% of current Indian Railway price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.25 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 197.21 |
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 |
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.Check out Indian Railway Correlation, Indian Railway Volatility and Indian Railway Alpha and Beta module to complement your research on Indian Railway. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Complementary 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.
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Indian Railway technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.