BSE (India) Backtesting

BSESN -- India Index  

 37,385  523.36  1.42%

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

June 19, 2019
0.00
No Change 0.00  0.0%
In 2 months and 31 days
September 17, 2019
0.00
If you would invest  0.00  in BSE on June 19, 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

Information Ratio(0.14)
Maximum Drawdown4.22
Value At Risk(1.59)
Potential Upside0.9206

BSE Market Premium Indicators

Risk Adjusted Performance(0.1)
Total Risk Alpha(0.11)

BSE Backtested Returns

BSE secures Sharpe Ratio (or Efficiency) of -0.1355 which signifies that the index had -0.1355% of return per unit of risk over the last 3 months. Macroaxis approach towards foreseeing risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. BSE exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and BSE are completely uncorrelated. Even though it is essential to pay attention to BSE historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards foreseeing future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. BSE exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.12) 
correlation synergy

Insignificant reverse predictability

BSE has insignificant reverse predictability. Overlapping area represents the amount of predictability between BSE time series from June 19, 2019 to August 3, 2019 and August 3, 2019 to September 17, 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 -0.12 indicates that less than 12.0% 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-0.12
Spearman Rank Test-0.05
Residual Average0.0
Price Variance105380.94

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 

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Analyst Recommendations

Analyst recommendations and target price estimates broken down by several categories
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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 Coins and Tokens Correlation module to utilize digital token correlation table to build portfolio of cryptocurrencies across multiple exchanges.
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