OMXRGI (Latvia) Backtesting

OMXRGI -- Latvia Index  

 1,037  5.06  0.49%

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

OMXRGI 'What if' Analysis

October 22, 2017
No Change 0.00  0.0%
In 30 days
November 21, 2017
If you would invest  0.00  in OMXRGI on October 22, 2017 and sell it all today you would earn a total of 0.00 from holding OMXRGI or generate 0.0% return on investment in OMXRGI over 30 days. OMXRGI is entity of Latvia. It is traded as Index on Index exchange.

OMXRGI Upside/Downside Indicators


OMXRGI Market Premium Indicators

OMXRGI lagged returns against current returns

 Current and Lagged Values 

OMXRGI regressed lagged prices vs. current prices

 Current vs Lagged Prices 

OMXRGI Backtested Returns

OMXRGI maintains Sharpe Ratio (i.e. Efficiency) of 0.2997 which implies OMXRGI had 0.2997% of return per unit of standard deviation over the last 1 month. Our philosophy towards forecasting 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 OMXRGI which you can use to evaluate future volatility of the index. The index holds Beta of 0.0 which implies the returns on MARKET and OMXRGI are completely uncorrelated. Although it is extremely important to respect OMXRGI current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting 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 reviewing OMXRGI technical indicators you can currently evaluate if the expected return of 0.1156% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 

Good predictability

OMXRGI has good predictability. Overlapping area represents the amount of predictability between OMXRGI time series from October 22, 2017 to November 6, 2017 and November 6, 2017 to November 21, 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 OMXRGI price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current OMXRGI price fluctuation can be explain by its past prices.
Correlation Coefficient 0.62
Spearman Rank Test 0.69
Price Variance 21.13
Lagged Price Variance 14.04

OMXRGI Lagged Returns

 Regressed Prices 

OMXRGI Performance vs OMXRGI

The median price of OMXRGI for the period between Sun, Oct 22, 2017 and Tue, Nov 21, 2017 is 1024.68 with a coefficient of variation of 0.7. The daily time series for the period is distributed with a sample standard deviation of 7.14, arithmetic mean of 1025.51, and mean deviation of 5.7. The Index did not receive any noticable media coverage during the period.
Price Growth (%)