Aditya BSL (India) Backtesting

BSLGOLDETF -- India Stock  

INR 2,810  45.00  1.58%

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

Aditya BSL 'What if' Analysis

August 21, 2018
No Change 0.00  0.0%
In 31 days
September 20, 2018
If you would invest  0.00  in Aditya BSL on August 21, 2018 and sell it all today you would earn a total of 0.00 from holding Aditya BSL Gold ETF or generate 0.0% return on investment in Aditya BSL over 30 days. Aditya BSL is related to or competes with Tata Consultancy, Tata Consultancy, Reliance Industries, Reliance Industries, HDFC Bank, HDFC Bank, and ITC. An ETF that invests in physical gold of 99.5 percent purity to generate returns in line with performance of gold, subject to tracking errors.

Aditya BSL Upside/Downside Indicators

Information Ratio0.0378
Maximum Drawdown2.63
Value At Risk0.65
Potential Upside0.9467

Aditya BSL Market Premium Indicators

Risk Adjusted Performance0.0934
Jensen Alpha0.0764
Total Risk Alpha0.0121
Treynor Ratio0.2874

Aditya BSL Gold Backtested Returns

We consider Aditya BSL not too risky. Aditya BSL Gold secures Sharpe Ratio (or Efficiency) of 0.1117 which signifies that Aditya BSL Gold had 0.1117% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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 Aditya BSL Gold ETF which you can use to evaluate future volatility of the firm. Please confirm Aditya BSL Gold Risk Adjusted Performance of 0.0934 and Mean Deviation of 0.3334 to double-check if risk estimate we provide are consistent with the epected return of 0.1167%. Aditya BSL has performance score of 7 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.3914 which signifies that as returns on market increase, Aditya BSL returns are expected to increase less than the market. However during bear market, the loss on holding Aditya BSL will be expected to be smaller as well.. Although it is extremely important to respect Aditya BSL Gold historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Aditya BSL Gold technical indicators you can presently evaluate if the expected return of 0.1167% will be sustainable into the future. Aditya BSL Gold right now shows a risk of 1.0447%. Please confirm Aditya BSL Gold Information Ratio as well as the relationship between Potential Upside and Kurtosis to decide if Aditya BSL Gold will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.69 

Good predictability

Aditya BSL Gold ETF has good predictability. Overlapping area represents the amount of predictability between Aditya BSL 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 Aditya BSL Gold price movement. The serial correlation of 0.69 indicates that around 69.0% of current Aditya BSL price fluctuation can be explain by its past prices.
Correlation Coefficient0.69
Spearman Rank Test-0.05
Residual Average0.0
Price Variance1470.61

Aditya BSL Gold lagged returns against current returns

 Current and Lagged Values 

Aditya BSL regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Aditya BSL Lagged Returns

 Regressed Prices 

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Aditya BSL Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Aditya BSL and Tata Consultancy Ser. 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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Check also Aditya BSL Hype Analysis, Aditya BSL Correlation, Aditya BSL Valuation, Aditya BSL Volatility as well as analyze Aditya BSL Alpha and Beta and Aditya BSL Performance. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.