SPTSX Comp Backtesting

GSPTSE -- Canada Index  

 16,495  0.03  0.0002%

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

SPTSX Comp 'What if' Analysis

June 17, 2018
0.00
No Change 0.00  0.0%
In 30 days
July 17, 2018
0.00
If you would invest  0.00  in SPTSX Comp on June 17, 2018 and sell it all today you would earn a total of 0.00 from holding SPTSX Comp or generate 0.0% return on investment in SPTSX Comp over 30 days.

SPTSX Comp Upside/Downside Indicators

Information Ratio0.07
Maximum Drawdown1.29
Value At Risk0.64
Potential Upside0.6465
  

SPTSX Comp Market Premium Indicators

Risk Adjusted Performance0.1452
Total Risk Alpha0.0084

SPTSX Comp Backtested Returns

SPTSX Comp owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0319 which indicates SPTSX Comp had 0.0319% of return per unit of standard deviation over the last 1 month. Our philosophy towards measuring volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for SPTSX Comp 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 SPTSX Comp are completely uncorrelated. Although it is extremely important to respect SPTSX Comp 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 evaluating SPTSX Comp technical indicators you can currently evaluate if the expected return of 0.0278% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.28) 

Weak reverse predictability

SPTSX Comp has weak reverse predictability. Overlapping area represents the amount of predictability between SPTSX Comp time series from June 17, 2018 to July 2, 2018 and July 2, 2018 to July 17, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of SPTSX Comp price movement. The serial correlation of -0.28 indicates that nearly 28.0% of current SPTSX Comp price fluctuation can be explain by its past prices. Given that SPTSX Comp has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of SPTSX Comp for similar time interval.
Correlation Coefficient -0.28
Spearman Rank Test -0.59
Price Variance 12674.22
Lagged Price Variance 15969.81

SPTSX Comp lagged returns against current returns

 Current and Lagged Values 
      Timeline 

SPTSX Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

SPTSX Comp Lagged Returns

 Regressed Prices 
      Timeline 

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See also SPTSX Comp Hype Analysis, SPTSX Comp Correlation, Portfolio Optimization, SPTSX Comp Volatility as well as analyze SPTSX Comp Alpha and Beta and SPTSX Comp Performance. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.