Seoul Comp (South Korea) Backtesting

KS11 -- South Korea Index  

 2,170  45.63  2.15%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Seoul Comp 'What if' Analysis

September 15, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 14, 2019
0.00
If you would invest  0.00  in Seoul Comp on September 15, 2019 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 90 days.

Seoul Comp Upside/Downside Indicators

Downside Deviation1.51
Information Ratio0.0339
Maximum Drawdown5.77
Value At Risk(1.77)
Potential Upside1.56

Seoul Comp Market Premium Indicators

Risk Adjusted Performance0.0553
Total Risk Alpha0.0023
Sortino Ratio0.024

Seoul Comp Backtested Returns

Seoul Comp owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0782 which indicates the organization had 0.0782% of return per unit of risk over the last 3 months. Our philosophy towards measuring volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-eight 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 0.0872% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.35) 
correlation synergy

Poor reverse predictability

Seoul Comp has poor reverse predictability. Overlapping area represents the amount of predictability between Seoul Comp time series from September 15, 2019 to October 30, 2019 and October 30, 2019 to December 14, 2019. 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 -0.35 indicates that nearly 35.0% 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-0.35
Spearman Rank Test-0.1
Residual Average0.0
Price Variance835.7

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 Lagged Returns

 Regressed Prices 
      Timeline 

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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. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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