secures Sharpe Ratio (or Efficiency) of 0.0186 which signifies that BSE
had 0.0186% of return per unit of risk over the last 1 month. Our approach towards foreseeing volatility of an index is to use all available market data together with index specific technical indicators
that cannot be diversified away. We have found twenty-eight technical indicators
for BSE which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and BSE are completely uncorrelated. Although it is extremely important to respect BSE
historical returns, it is better to be realistic regarding the information on equity current trending patterns. The approach towards foreseeing future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators
. By reviewing BSE technical indicators
you can today evaluate if the expected return of 0.0223% will be sustainable into the future.
|15 days auto-correlation||(0.52) |
Good reverse predictability
BSE has good reverse predictability. Overlapping area represents the amount of predictability between BSE time series from October 16, 2018 to October 31, 2018 and October 31, 2018 to November 15, 2018. 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 -0.52 indicates that about 52.0% of current BSE price fluctuation can be explain by its past prices. Given that BSE has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of BSE for similar time interval.
|Spearman Rank Test||-0.57|