BSE (India) Backtesting

BSESN -- India Index  

 40,662  450.53  1.12%

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

August 23, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
November 21, 2019
0.00
If you would invest  0.00  in BSE on August 23, 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 90 days.

BSE Upside/Downside Indicators

Downside Deviation1.25
Information Ratio0.0201
Maximum Drawdown12.31
Value At Risk(1.70)
Potential Upside1.74

BSE Market Premium Indicators

Risk Adjusted Performance0.0684
Total Risk Alpha(0.09)
Sortino Ratio0.0254

BSE Backtested Returns

BSE secures Sharpe Ratio (or Efficiency) of 0.0805 which signifies that the index had 0.0805% of return per unit of risk over the last 3 months. 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 0.1304% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.52 
correlation synergy

Modest predictability

BSE has modest predictability. Overlapping area represents the amount of predictability between BSE time series from August 23, 2019 to October 7, 2019 and October 7, 2019 to November 21, 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 0.52 indicates that about 52.0% of current BSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.52
Spearman Rank Test0.46
Residual Average0.0
Price Variance929754.17

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 

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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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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