SPTSX Comp Backtesting

SPTSX Comp -- Canada Index  

 15,454  75.55  0.49%

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

February 18, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 19, 2018
0.00
If you would invest  0.00  in SPTSX Comp on February 18, 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 60 days.

SPTSX Comp Upside/Downside Indicators

Information Ratio0.016733
Maximum Drawdown3.6
Value At Risk1.76
Potential Upside1.3
  

SPTSX Comp Market Premium Indicators

Risk Adjusted Performance0.081524
Total Risk Alpha0.030512

SPTSX Comp Backtested Returns

SPTSX Comp owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0202 which indicates SPTSX Comp had 0.0202% of return per unit of standard deviation over the last 2 months. 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-one 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 0.0141% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.36) 

Poor reverse predictability

SPTSX Comp has poor reverse predictability. Overlapping area represents the amount of predictability between SPTSX Comp time series from February 18, 2018 to March 20, 2018 and March 20, 2018 to April 19, 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 -0.36 indicates that just about 36.0% 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 -0.36
Spearman Rank Test 0.1
Price Variance 19662.49
Lagged Price Variance 9294.11

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 Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.