Bursa Malaysia (Exotistan) Backtesting

Bursa Malaysia -- Exotistan Index  

 1,823  2.34  0.13%

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

December 19, 2017
No Change 0.00  0.0%
In 31 days
January 18, 2018
If you would invest  0.00  in Bursa Malaysia on December 19, 2017 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 is entity of MI. It is traded as Index on Index exchange.

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 0.5661 which signifies that Bursa Malaysia had 0.5661% 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 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 vital to follow to Bursa Malaysia historical returns, it is good to be conservative about what you can actually do with the information regarding 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 0.269% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.59 

Modest predictability

Bursa Malaysia has modest predictability. Overlapping area represents the amount of predictability between Bursa Malaysia time series from December 19, 2017 to January 3, 2018 and January 3, 2018 to January 18, 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 0.59 indicates that roughly 59.0% of current Bursa Malaysia price fluctuation can be explain by its past prices.
Correlation Coefficient 0.59
Spearman Rank Test 0.35
Price Variance 132.81
Lagged Price Variance 325.76

Bursa Malaysia Lagged Returns

 Regressed Prices 

Bursa Malaysia Performance vs Bursa Malaysia

The median price of Bursa Malaysia for the period between Tue, Dec 19, 2017 and Thu, Jan 18, 2018 is 1779.1 with a coefficient of variation of 1.87. The daily time series for the period is distributed with a sample standard deviation of 33.35, arithmetic mean of 1779.64, and mean deviation of 28.99. The Index did not receive any noticable media coverage during the period.
Price Growth (%)