Stockholm (Sweden) Backtesting

OMXSPI -- Sweden Index  

 608.89  9.20  1.53%

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

Stockholm 'What if' Analysis

August 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 20, 2018
0.00
If you would invest  0.00  in Stockholm on August 21, 2018 and sell it all today you would earn a total of 0.00 from holding Stockholm or generate 0.0% return on investment in Stockholm over 30 days.

Stockholm Upside/Downside Indicators

Downside Deviation0.9307
Information Ratio0.09
Maximum Drawdown3.44
Value At Risk1.34
Potential Upside1.03
  

Stockholm Market Premium Indicators

Risk Adjusted Performance0.0181
Total Risk Alpha0.17
Sortino Ratio0.08

Stockholm Backtested Returns

Stockholm owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0324 which indicates Stockholm had 0.0324% of return per unit of risk over the last 1 month. 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 Stockholm 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 Stockholm are completely uncorrelated. Although it is extremely important to respect Stockholm 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 Stockholm technical indicators you can presently evaluate if the expected return of 0.0253% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.10 

Insignificant predictability

Stockholm has insignificant predictability. Overlapping area represents the amount of predictability between Stockholm time series from August 21, 2018 to September 5, 2018 and September 5, 2018 to September 20, 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 Stockholm price movement. The serial correlation of 0.1 indicates that less than 10.0% of current Stockholm price fluctuation can be explain by its past prices.
Correlation Coefficient0.1
Spearman Rank Test0.19
Residual Average0.0
Price Variance15.16

Stockholm lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Stockholm regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Stockholm Lagged Returns

 Regressed Prices 
      Timeline 

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See also Stockholm Hype Analysis, Stockholm Correlation, Portfolio Optimization, Stockholm Volatility as well as analyze Stockholm Alpha and Beta and Stockholm Performance. Please also try Coins and Tokens Correlation module to utilize digital token correlation table to build portfolio of cryptocurrencies across multiple exchanges.
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