Rolling returns analysis of Indian and US indices in INR

In this blog, we will check the rolling returns of a few Indian and US indices. We will use TRI (Total Return Index) data for each index. We do the rolling return comparison in INR i.e. since US indices are in USD, we convert them to INR using historical USD-INR exchange rate before calculating rolling returns.

We list the indices that we are going to analyze below along with the period of data we use for each index.

• Nifty 50 TRI: 30-06-1999 to 22-12-2020
• Nifty Next 50 TRI: 08-11-2002 to 22-12-2020
• S&P 500 TRI: 04-01-1988 to 08-01-2021
• Nasdaq 100 TRI: 08-11-2006 to 08-01-2021

P.S. Past performance is not indicative of future results.

Prashant Anand

Machine Learning Engineer

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