BSE (India) Backtesting

BSESN -- India Index  

 38,897  318.18  0.81%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of BSE and determine expected loss or profit from investing in BSE over given investment horizon. See also BSE Hype Analysis, BSE Correlation, Portfolio Optimization, BSE Volatility as well as analyze BSE Alpha and Beta and BSE Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

BSE 'What if' Analysis

May 19, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
July 18, 2019
0.00
If you would invest  0.00  in BSE on May 19, 2019 and sell it all today you would earn a total of 0.00 from holding BSE or generate 0.0% return on investment in BSE over 60 days.

BSE Upside/Downside Indicators

Downside Deviation0.9782
Information Ratio0.0206
Maximum Drawdown5.04
Value At Risk(1.21)
Potential Upside1.44

BSE Market Premium Indicators

Risk Adjusted Performance0.1002
Total Risk Alpha(0.025633)
Sortino Ratio0.0193

BSE Backtested Returns

BSE secures Sharpe Ratio (or Efficiency) of -0.0105 which signifies that the index had -0.0105% of return per unit of risk over the last 2 months. Macroaxis approach towards foreseeing risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. BSE exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and BSE are completely uncorrelated. Even though it is essential to pay attention to BSE historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards foreseeing future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. BSE exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.20 
correlation synergy

Weak predictability

BSE has weak predictability. Overlapping area represents the amount of predictability between BSE time series from May 19, 2019 to June 18, 2019 and June 18, 2019 to July 18, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of BSE price movement. The serial correlation of 0.2 indicates that over 20.0% of current BSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.2
Spearman Rank Test-0.21
Residual Average0.0
Price Variance175350.97

BSE lagged returns against current returns

 Current and Lagged Values 
      Timeline 

BSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

BSE Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - BSESN

BSE Investor Sentiment

Most of Macroaxis investors are at this time bullish on BSE. What is your opinion about investing in India companies? Are you bullish or bearish on BSE?
Bullish
Bearish
98% Bullish
2% Bearish
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See also BSE Hype Analysis, BSE Correlation, Portfolio Optimization, BSE Volatility as well as analyze BSE Alpha and Beta and BSE Performance. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.
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