CPSE ETF (India) Backtesting

CPSEETF -- India Stock  

INR 26.80  0.15  0.56%

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

CPSE ETF 'What if' Analysis

August 20, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 19, 2018
0.00
If you would invest  0.00  in CPSE ETF on August 20, 2018 and sell it all today you would earn a total of 0.00 from holding CPSE ETF or generate 0.0% return on investment in CPSE ETF over 30 days. CPSE ETF is related to or competes with Housing Development, Housing Development, Infosys, Maruti Suzuki, Maruti Suzuki, Kotak Mahindra, and Kotak Mahindra.

CPSE ETF Upside/Downside Indicators

Information Ratio0.18
Maximum Drawdown3.85
Value At Risk1.27
Potential Upside1.28
  

CPSE ETF Market Premium Indicators

Risk Adjusted Performance0.019821
Jensen Alpha0.1
Total Risk Alpha0.30
Treynor Ratio0.30

CPSE ETF Backtested Returns

Macroaxis considers CPSE ETF to be not too risky. CPSE ETF secures Sharpe Ratio (or Efficiency) of -0.1263 which signifies that CPSE ETF had -0.1263% of return per unit of volatility over the last 1 month. Macroaxis approach towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. CPSE ETF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm CPSE ETF Risk Adjusted Performance of 0.019821 and Mean Deviation of 0.7126 to double-check risk estimate we provide. Macroaxis gives CPSE ETF performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.2468 which signifies that as returns on market increase, CPSE ETF returns are expected to increase less than the market. However during bear market, the loss on holding CPSE ETF will be expected to be smaller as well.. Even though it is essential to pay attention to CPSE ETF historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. CPSE ETF exposes twenty-one different technical indicators which can help you to evaluate its performance. CPSE ETF has expected return of -0.1223%. Please be advised to confirm CPSE ETF Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to decide if CPSE ETF past performance will be repeated at future time.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.68) 

Very good reverse predictability

CPSE ETF has very good reverse predictability. Overlapping area represents the amount of predictability between CPSE ETF time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 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 CPSE ETF price movement. The serial correlation of -0.68 indicates that around 68.0% of current CPSE ETF price fluctuation can be explain by its past prices. Given that CPSE ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of CPSE ETF for similar time interval.
Correlation Coefficient-0.68
Spearman Rank Test-0.03
Residual Average0.0
Price Variance0.03

CPSE ETF lagged returns against current returns

 Current and Lagged Values 
      Timeline 

CPSE ETF regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

CPSE ETF Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - CPSEETF

CPSE ETF Investor Sentiment

Most of Macroaxis users are currently bullish on CPSE ETF. What is your opinion about investing in CPSE ETF? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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CPSE ETF Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for CPSE ETF and Housing Development. 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
Run Pair Correlation  
Check also CPSE ETF Hype Analysis, CPSE ETF Correlation, CPSE ETF Valuation, CPSE ETF Volatility as well as analyze CPSE ETF Alpha and Beta and CPSE ETF Performance. Please also try Portfolio Reporting module to create custom reports across your portfolios and generate quick suggestion pitch.
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