Jakarta Comp (Indonesia) Backtesting

JKSE -- Indonesia Index  

 6,328  7.33  0.12%

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

Jakarta Comp 'What if' Analysis

June 17, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 15, 2019
0.00
If you would invest  0.00  in Jakarta Comp on June 17, 2019 and sell it all today you would earn a total of 0.00 from holding Jakarta Comp or generate 0.0% return on investment in Jakarta Comp over 90 days.

Jakarta Comp Upside/Downside Indicators

Downside Deviation0.7474
Information Ratio(0.012744)
Maximum Drawdown3.9
Value At Risk(0.91)
Potential Upside1.14

Jakarta Comp Market Premium Indicators

Risk Adjusted Performance0.0413
Total Risk Alpha0.0011
Sortino Ratio(0.010596)

Jakarta Comp Backtested Returns

Jakarta Comp holds Efficiency (Sharpe) Ratio of 0.0562 which attests that the entity had 0.0562% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-six technical indicators for Jakarta Comp which you can use to evaluate future volatility of the entity. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Jakarta Comp are completely uncorrelated. Although it is extremely important to respect Jakarta Comp current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating Jakarta Comp technical indicators you can presently evaluate if the expected return of 0.0369% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.05) 
correlation synergy

Very weak reverse predictability

Jakarta Comp has very weak reverse predictability. Overlapping area represents the amount of predictability between Jakarta Comp time series from June 17, 2019 to August 1, 2019 and August 1, 2019 to September 15, 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 Jakarta Comp price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current Jakarta Comp price fluctuation can be explain by its past prices. Given that Jakarta Comp has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Jakarta Comp for similar time interval.
Correlation Coefficient-0.05
Spearman Rank Test0.33
Residual Average0.0
Price Variance3073.81

Jakarta Comp lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Jakarta Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Jakarta Comp Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - JKSE

Jakarta Comp Investor Sentiment

Most of Macroaxis investors are at this time bullish on Jakarta Comp. What is your judgment towards investing in Indonesia companies? Are you bullish or bearish on Jakarta Comp?
Bullish
Bearish
98% Bullish
2% Bearish
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See also Jakarta Comp Hype Analysis, Jakarta Comp Correlation, Portfolio Optimization, Jakarta Comp Volatility as well as analyze Jakarta Comp Alpha and Beta and Jakarta Comp Performance. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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