Eros International Backtesting

EROS -- USA Stock  

USD 1.76  0.10  6.02%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Eros International PLC A 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

July 20, 2019
No Change 0.00  0.0 
In 3 months and 1 day
October 18, 2019
If you would invest  0.00  in Eros International on July 20, 2019 and sell it all today you would earn a total of 0.00 from holding Eros International PLC A or generate 0.0% return on investment in Eros International over 90 days. Eros International is related to or competes with AMC Entertainment, Discovery Inc, Disney, Cinemark Holdings, Live Nation, Dolby Laboratories, and Global Eagle. Eros International Plc, together with its subsidiaries, co-produces, acquires, and distributes Indian language films in ...

Eros International Upside/Downside Indicators

Downside Deviation8.69
Information Ratio0.0604
Maximum Drawdown68.12
Value At Risk(10.05)
Potential Upside12.16

Eros International Market Premium Indicators

Risk Adjusted Performance0.0656
Jensen Alpha0.5655
Total Risk Alpha0.7725
Sortino Ratio0.0608
Treynor Ratio0.2258

Eros International PLC Backtested Returns

Macroaxis considers Eros International out of control given 3 months investment horizon. Eros International PLC secures Sharpe Ratio (or Efficiency) of 0.0737 which denotes the organization had 0.0737% of return per unit of risk over the last 3 months. 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. By reviewing Eros International PLC technical indicators you can presently evaluate if the expected return of 0.6517% is justified by implied risk. Please utilize Eros International PLC Mean Deviation of 5.88, Downside Deviation of 8.69 and Coefficient Of Variation of 1723.01 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Eros International holds performance score of 4. The firm shows Beta (market volatility) of 2.2048 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 vital to follow to Eros International PLC historical returns, it is good to be conservative about what you can actually do with the information regarding 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. We have found twenty-one technical indicators for Eros International PLC A which you can use to evaluate performance of the firm. Please utilizes Eros International PLC Coefficient Of Variation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Skewness to make a quick decision on weather Eros International price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.21) 
correlation synergy

Weak reverse predictability

Eros International PLC A has weak reverse predictability. Overlapping area represents the amount of predictability between Eros International time series from July 20, 2019 to September 3, 2019 and September 3, 2019 to October 18, 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 Eros International PLC price movement. The serial correlation of -0.21 indicates that over 21.0% of current Eros International price fluctuation can be explain by its past prices. Given that Eros International PLC A 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-0.21
Spearman Rank Test0.32
Residual Average0.0
Price Variance0.32

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 AMC Entertainment. 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 Market Hitters module to find equities that experience drastic asymmetry in trading patters, price, volume, or investment outlook..