Straits Tms (Singapore) Backtesting

STI -- Singapore Index  

 3,211  16.53  0.52%

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

Straits Tms '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 Straits Tms on June 17, 2019 and sell it all today you would earn a total of 0.00 from holding Straits Tms or generate 0.0% return on investment in Straits Tms over 90 days.

Straits Tms Upside/Downside Indicators

Downside Deviation0.7041
Information Ratio(0.06)
Maximum Drawdown3.57
Value At Risk(0.97)
Potential Upside1.29

Straits Tms Market Premium Indicators

Risk Adjusted Performance(0.002732)
Total Risk Alpha(0.031578)
Sortino Ratio(0.06)

Straits Tms Backtested Returns

Straits Tms owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0059 which indicates the organization had 0.0059% of return per unit of risk over the last 3 months. Our philosophy towards measuring 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-eight technical indicators for Straits Tms which you can use to evaluate future volatility of the index. The entity has beta of 0.0 which indicates the returns on MARKET and Straits Tms are completely uncorrelated. Although it is extremely important to respect Straits Tms current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Straits Tms technical indicators you can presently evaluate if the expected return of 0.0041% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.52) 
correlation synergy

Good reverse predictability

Straits Tms has good reverse predictability. Overlapping area represents the amount of predictability between Straits Tms 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 Straits Tms price movement. The serial correlation of -0.52 indicates that about 52.0% of current Straits Tms price fluctuation can be explain by its past prices. Given that Straits Tms has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Straits Tms for similar time interval.
Correlation Coefficient-0.52
Spearman Rank Test-0.14
Residual Average0.0
Price Variance2913.35

Straits Tms lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Straits Tms regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Straits Tms Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - STI

Straits Tms Investor Sentiment

Most of Macroaxis investors are at this time bullish on Straits Tms. What is your outlook on investing in Singapore companies? Are you bullish or bearish on Straits Tms?
Bullish
Bearish
98% Bullish
2% Bearish
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See also Straits Tms Hype Analysis, Straits Tms Correlation, Portfolio Optimization, Straits Tms Volatility as well as analyze Straits Tms Alpha and Beta and Straits Tms Performance. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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