BSE (India) Backtesting

BSESN -- India Index  

 41,005  117.20  0.29%

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

September 14, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 13, 2019
0.00
If you would invest  0.00  in BSE on September 14, 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 Deviation1.17
Information Ratio0.0495
Maximum Drawdown12.31
Value At Risk(1.70)
Potential Upside1.45

BSE Market Premium Indicators

Risk Adjusted Performance0.0585
Total Risk Alpha0.0053
Sortino Ratio0.0637

BSE Backtested Returns

BSE secures Sharpe Ratio (or Efficiency) of 0.1215 which signifies that the index had 0.1215% 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 0.1905% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.36 
correlation synergy

Below average predictability

BSE has below average predictability. Overlapping area represents the amount of predictability between BSE time series from September 14, 2019 to October 29, 2019 and October 29, 2019 to December 13, 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 0.36 indicates that just about 36.0% of current BSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.36
Spearman Rank Test0.57
Residual Average0.0
Price Variance105846.34

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 

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?
Bullish
Bearish
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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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