BSE (India) Backtesting

BSE -- India Index  

 33,343  17.1  0.0513%

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
Investment Horizon     30 Days    Login   to change

BSE 'What if' Analysis

October 22, 2017
No Change 0.00  0.0%
In 31 days
November 21, 2017
If you would invest  0.00  in BSE on October 22, 2017 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 is entity of India. It is traded as Index on Index exchange.

BSE Upside/Downside Indicators


BSE Market Premium Indicators

BSE lagged returns against current returns

 Current and Lagged Values 

BSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 

BSE Backtested Returns

BSE secures Sharpe Ratio (or Efficiency) of 0.2303 which signifies that BSE had 0.2303% of return per unit of risk over the last 1 month. Our approach towards foreseeing volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one 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 0.1424% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.56) 

Good reverse predictability

BSE has good reverse predictability. Overlapping area represents the amount of predictability between BSE time series from October 22, 2017 to November 6, 2017 and November 6, 2017 to November 21, 2017. 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 -0.56 indicates that roughly 56.0% 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 -0.56
Spearman Rank Test -0.35
Price Variance 60427.66
Lagged Price Variance 168607.42

BSE Lagged Returns

 Regressed Prices 

BSE Performance vs BSE

The median price of BSE for the period between Sun, Oct 22, 2017 and Tue, Nov 21, 2017 is 33218.81 with a coefficient of variation of 1.11. The daily time series for the period is distributed with a sample standard deviation of 369.42, arithmetic mean of 33159.28, and mean deviation of 274.18. The Index did not receive any noticable media coverage during the period.
Price Growth (%)