OMXRGI (Latvia) Backtesting

OMXRGI -- Latvia Index  

 1,050  8.90  0.85%

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.
 Time Horizon     30 Days    Login   to change

OMXRGI 'What if' Analysis

May 19, 2018
No Change 0.00  0.0%
In 31 days
June 18, 2018
If you would invest  0.00  in OMXRGI on May 19, 2018 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 Upside/Downside Indicators


OMXRGI Market Premium Indicators

OMXRGI Backtested Returns

OMXRGI maintains Sharpe Ratio (i.e. Efficiency) of 0.0158 which implies OMXRGI had 0.0158% 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-eight 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 0.0124% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.19) 

Insignificant reverse predictability

OMXRGI has insignificant reverse predictability. Overlapping area represents the amount of predictability between OMXRGI time series from May 19, 2018 to June 3, 2018 and June 3, 2018 to June 18, 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 OMXRGI price movement. The serial correlation of -0.19 indicates that over 19.0% of current OMXRGI price fluctuation can be explain by its past prices. Given that OMXRGI has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of OMXRGI for similar time interval.
Correlation Coefficient -0.19
Spearman Rank Test 0.41
Price Variance 64.09
Lagged Price Variance 75.14

OMXRGI lagged returns against current returns

 Current and Lagged Values 

OMXRGI regressed lagged prices vs. current prices

 Current vs Lagged Prices 

OMXRGI Lagged Returns

 Regressed Prices 

Current Sentiment - OMXRGI

OMXRGI Investor Sentiment
Macroaxis traders are unemotional in their take regarding direction of OMXRGI Index. What is your perspective on investing in Latvia companies? Are you bullish or bearish on OMXRGI?
50% Bullish
50% Bearish
Also Currentnly Active
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See also OMXRGI Hype Analysis, OMXRGI Correlation, Portfolio Optimization, OMXRGI Volatility as well as analyze OMXRGI Alpha and Beta and OMXRGI Performance. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.