BSE (India) Backtesting

BSESN -- India Index  

 38,645  495.10  1.26%

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

February 22, 2019
No Change 0.00  0.0%
In 2 months and 2 days
April 23, 2019
If you would invest  0.00  in BSE on February 22, 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 Deviation0.8283
Information Ratio0.0651
Maximum Drawdown3.7
Value At Risk(1.15)
Potential Upside1.85

BSE Market Premium Indicators

Risk Adjusted Performance0.1314
Total Risk Alpha0.0102
Sortino Ratio0.0719

BSE Backtested Returns

BSE secures Sharpe Ratio (or Efficiency) of 0.3189 which signifies that the index had 0.3189% of return per unit of risk over the last 2 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 vital to follow to BSE historical returns, it is good to be conservative about what you can actually do with the information regarding 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 0.2871% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.55 
correlation synergy

Modest predictability

BSE has modest predictability. Overlapping area represents the amount of predictability between BSE time series from February 22, 2019 to March 24, 2019 and March 24, 2019 to April 23, 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 0.55 indicates that about 55.0% of current BSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.55
Spearman Rank Test0.36
Residual Average0.0
Price Variance107556.39

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 

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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 Money Managers module to screen money managers from public funds and etfs managed around the world.