BSE (India) Backtesting

BSESN -- India Index  

 39,435  547.95  1.41%

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

March 25, 2019
No Change 0.00  0.0%
In 2 months and 1 day
May 24, 2019
If you would invest  0.00  in BSE on March 25, 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 Deviation0.821
Information Ratio0.0773
Maximum Drawdown4.24
Value At Risk(1.01)
Potential Upside1.85

BSE Market Premium Indicators

Risk Adjusted Performance0.0545
Total Risk Alpha0.0737
Sortino Ratio0.0856

BSE Backtested Returns

BSE secures Sharpe Ratio (or Efficiency) of 0.0511 which signifies that the index had 0.0511% 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 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 0.0491% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.31) 
correlation synergy

Poor reverse predictability

BSE has poor reverse predictability. Overlapping area represents the amount of predictability between BSE time series from March 25, 2019 to April 24, 2019 and April 24, 2019 to May 24, 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 -0.31 indicates that nearly 31.0% 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-0.31
Spearman Rank Test-0.3
Residual Average0.0
Price Variance593136.5

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 Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.