Eros International Backtesting

EROS -- USA Stock  

USD 12.30  0.30  2.38%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Eros International Plc and determine expected loss or profit from investing in Eros International over given investment horizon. Additionally see Eros International Hype Analysis, Eros International Correlation, Eros International Valuation, Eros International Volatility as well as analyze Eros International Alpha and Beta and Eros International Performance.
Horizon     30 Days    Login   to change

Eros International 'What if' Analysis

August 21, 2018
No Change 0.00  0.0%
In 30 days
September 20, 2018
If you would invest  0.00  in Eros International on August 21, 2018 and sell it all today you would earn a total of 0.00 from holding Eros International Plc or generate 0.0% return on investment in Eros International over 30 days. Eros International is related to or competes with Discovery Communications, AMC Entertainment, CBS, Cinemark Holdings, Disney, and Dolby Laboratories. Eros International Plc, together with its subsidiaries, co-produces, acquires, and distributes Indian films in various f...

Eros International Upside/Downside Indicators

Downside Deviation5.01
Information Ratio0.0013
Maximum Drawdown15.46
Value At Risk6.95
Potential Upside8.6

Eros International Market Premium Indicators

Risk Adjusted Performance0.0182
Jensen Alpha0.08
Total Risk Alpha1.02
Sortino Ratio0.0013
Treynor Ratio0.0523

Eros International Plc Backtested Returns

We consider Eros International relatively volatile. Eros International Plc secures Sharpe Ratio (or Efficiency) of 0.0223 which denotes Eros International Plc had 0.0223% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Eros International Plc which you can use to evaluate future volatility of the firm. Please confirm Eros International Plc Coefficient Of Variation of 4387.25, Mean Deviation of 3.51 and Downside Deviation of 5.01 to check if risk estimate we provide are consistent with the epected return of 0.104%. Eros International has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.8883 which denotes to the fact that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Eros International will likely underperform.. Although it is extremely important to respect Eros International Plc historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards predicting future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By reviewing Eros International Plc technical indicators you can presently evaluate if the expected return of 0.104% will be sustainable into the future. Eros International Plc right now shows a risk of 4.6627%. Please confirm Eros International Plc Coefficient Of Variation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Skewness to decide if Eros International Plc will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.41) 

Modest reverse predictability

Eros International Plc has modest reverse predictability. Overlapping area represents the amount of predictability between Eros International time series from August 21, 2018 to September 5, 2018 and September 5, 2018 to September 20, 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 Eros International Plc price movement. The serial correlation of -0.41 indicates that just about 41.0% of current Eros International price fluctuation can be explain by its past prices. Given that Eros International Plc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Eros International for similar time interval.
Correlation Coefficient-0.41
Spearman Rank Test-0.5
Residual Average0.0
Price Variance0.58

Eros International Plc lagged returns against current returns

 Current and Lagged Values 

Eros International regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Eros International Lagged Returns

 Regressed Prices 

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Eros International Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Eros International and Discovery Communications. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Additionally see Eros International Hype Analysis, Eros International Correlation, Eros International Valuation, Eros International Volatility as well as analyze Eros International Alpha and Beta and Eros International Performance. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.