BSE (India) Backtesting

BSESN -- India Index  

 35,437  299.51  0.85%

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

BSE 'What if' Analysis

October 16, 2018
No Change 0.00  0.0%
In 31 days
November 15, 2018
If you would invest  0.00  in BSE on October 16, 2018 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 30 days.

BSE Upside/Downside Indicators

Downside Deviation1.26
Information Ratio0.186
Maximum Drawdown5.32
Value At Risk1.09
Potential Upside1.84

BSE Market Premium Indicators

Risk Adjusted Performance0.1163
Total Risk Alpha0.2256
Sortino Ratio0.1783

BSE Backtested Returns

BSE 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.52) 
correlation synergy

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.
Correlation Coefficient-0.52
Spearman Rank Test-0.57
Residual Average0.0
Price Variance77870.27

BSE lagged returns against current returns

 Current and Lagged Values 

BSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 

BSE Lagged Returns

 Regressed Prices 

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?
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.