OMXRGI (Latvia) Backtesting

OMXRGI -- Latvia Index  

 1,015  4.58  0.45%

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

January 23, 2018
No Change 0.00  0.0%
In 31 days
February 22, 2018
If you would invest  0.00  in OMXRGI on January 23, 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 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 -0.0828 which implies OMXRGI had -0.0828% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy towards forecasting risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. OMXRGI exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index holds Beta of 0.0 which implies the returns on MARKET and OMXRGI are completely uncorrelated. Even though it is essential to pay attention to OMXRGI current trending patterns, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. OMXRGI exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.10) 

Very weak reverse predictability

OMXRGI has very weak reverse predictability. Overlapping area represents the amount of predictability between OMXRGI time series from January 23, 2018 to February 7, 2018 and February 7, 2018 to February 22, 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 -0.1 indicates that less than 10.0% 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 -0.1
Spearman Rank Test -0.42
Price Variance 103.76
Lagged Price Variance 48.56

OMXRGI Lagged Returns

 Regressed Prices 

OMXRGI Performance vs OMXRGI

The median price of OMXRGI for the period between Tue, Jan 23, 2018 and Thu, Feb 22, 2018 is 1024.25 with a coefficient of variation of 1.34. The daily time series for the period is distributed with a sample standard deviation of 13.7, arithmetic mean of 1023.35, and mean deviation of 11.61. The Index did not receive any noticable media coverage during the period.
Price Growth (%)