Bursa Malaysia (Exotistan) Backtesting

KLSE -- Exotistan Index  

 1,727  4.74  0.28%

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
SymbolX
Backtest

Bursa Malaysia 'What if' Analysis

June 17, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 17, 2018
0.00
If you would invest  0.00  in Bursa Malaysia on June 17, 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

Information Ratio0.29
Maximum Drawdown3.13
Value At Risk1.58
Potential Upside1.08
  

Bursa Malaysia Market Premium Indicators

Risk Adjusted Performance0.08
Total Risk Alpha0.29

Bursa Malaysia Backtested Returns

Bursa Malaysia secures Sharpe Ratio (or Efficiency) of -0.0532 which signifies that Bursa Malaysia had -0.0532% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Bursa Malaysia exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Bursa Malaysia are completely uncorrelated. Even though it is essential to pay attention to Bursa Malaysia historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Bursa Malaysia exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.39) 

Poor reverse predictability

Bursa Malaysia has poor reverse predictability. Overlapping area represents the amount of predictability between Bursa Malaysia 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 Bursa Malaysia price movement. The serial correlation of -0.39 indicates that just about 39.0% 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 -0.39
Spearman Rank Test -0.62
Price Variance 361.82
Lagged Price Variance 531.41

Bursa Malaysia lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Bursa Malaysia regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Bursa Malaysia Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - KLSE

Bursa Malaysia Investor Sentiment
Macroaxis traders are unemotional in their take regarding direction of Bursa Malaysia Index. What is your opinion about investing in Exotistan companies? Are you bullish or bearish on Bursa Malaysia?
Bullish
Bearish
50% Bullish
50% Bearish
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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. Please also try Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. drill down to check world indexes.