Bursa Malaysia Backtested Returns
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.
|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