Seoul Comp (South Korea) Backtesting

Seoul Comp -- South Korea Index  

 2,541  10.46  0.41%

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

Seoul Comp 'What if' Analysis

October 23, 2017
0.00
No Change 0.00  0.0%
In 31 days
November 22, 2017
0.00
If you would invest  0.00  in Seoul Comp on October 23, 2017 and sell it all today you would earn a total of 0.00 from holding Seoul Comp or generate 0.0% return on investment in Seoul Comp over 30 days. Seoul Comp is entity of Republic of Korea

Seoul Comp Upside/Downside Indicators

  

Seoul Comp Market Premium Indicators

Seoul Comp lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Seoul Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Seoul Comp Backtested Returns

Seoul Comp owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1482 which indicates Seoul Comp had 0.1482% of return per unit of risk over the last 1 month. 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 technical indicators for Seoul 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 Seoul Comp are completely uncorrelated. Although it is extremely important to respect Seoul 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 inspecting Seoul Comp technical indicators you can presently evaluate if the expected return of 0.0692% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.48) 

Modest reverse predictability

Seoul Comp has modest reverse predictability. Overlapping area represents the amount of predictability between Seoul Comp time series from October 23, 2017 to November 7, 2017 and November 7, 2017 to November 22, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Seoul Comp price movement. The serial correlation of -0.48 indicates that about 48.0% of current Seoul Comp price fluctuation can be explain by its past prices. Given that Seoul Comp has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Seoul Comp for similar time interval.
Correlation Coefficient -0.48
Spearman Rank Test -0.27
Price Variance 98.51
Lagged Price Variance 827.58

Seoul Comp Lagged Returns

 Regressed Prices 
      Timeline 

Seoul Comp Performance vs Seoul Comp

The median price of Seoul Comp for the period between Mon, Oct 23, 2017 and Wed, Nov 22, 2017 is 2533.99 with a coefficient of variation of 0.91. The daily time series for the period is distributed with a sample standard deviation of 22.98, arithmetic mean of 2528.67, and mean deviation of 18.17. The Index did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline