Bursa Malaysia (Exotistan) Backtesting

Bursa Malaysia -- Exotistan Index  

 1,856  9.41  0.50%

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

Bursa Malaysia 'What if' Analysis

February 21, 2018
No Change 0.00  0.0%
In 31 days
March 23, 2018
If you would invest  0.00  in Bursa Malaysia on February 21, 2018 and sell it all today you would earn a total of 0.00 from holding Bursa Malaysia or generate 0.0% return on investment in Bursa Malaysia over 30 days.

Bursa Malaysia Upside/Downside Indicators


Bursa Malaysia Market Premium Indicators

Bursa Malaysia lagged returns against current returns

 Current and Lagged Values 

Bursa Malaysia regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Bursa Malaysia Backtested Returns

Bursa Malaysia secures Sharpe Ratio (or Efficiency) of 0.0436 which signifies that Bursa Malaysia had 0.0436% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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 Bursa Malaysia which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Bursa Malaysia are completely uncorrelated. Although it is extremely important to respect Bursa Malaysia historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Bursa Malaysia technical indicators you can presently evaluate if the expected return of 0.0196% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.30) 

Weak reverse predictability

Bursa Malaysia has weak reverse predictability. Overlapping area represents the amount of predictability between Bursa Malaysia time series from February 21, 2018 to March 8, 2018 and March 8, 2018 to March 23, 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 Bursa Malaysia price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current Bursa Malaysia price fluctuation can be explain by its past prices. Given that Bursa Malaysia has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Bursa Malaysia for similar time interval.
Correlation Coefficient -0.3
Spearman Rank Test -0.41
Price Variance 84.14
Lagged Price Variance 79.51

Bursa Malaysia Lagged Returns

 Regressed Prices 

Bursa Malaysia Performance vs Bursa Malaysia

The median price of Bursa Malaysia for the period between Wed, Feb 21, 2018 and Fri, Mar 23, 2018 is 1856.2 with a coefficient of variation of 0.48. The daily time series for the period is distributed with a sample standard deviation of 8.95, arithmetic mean of 1854.18, and mean deviation of 7.4. The Index did not receive any noticable media coverage during the period.
 Price Growth (%)