OMXVGI (Lithuania) Backtesting

OMXVGI -- Lithuania Index  

 713.72  2.11  0.29%

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

OMXVGI 'What if' Analysis

May 20, 2018
No Change 0.00  0.0%
In 31 days
June 19, 2018
If you would invest  0.00  in OMXVGI on May 20, 2018 and sell it all today you would earn a total of 0.00 from holding OMXVGI or generate 0.0% return on investment in OMXVGI over 30 days.

OMXVGI Upside/Downside Indicators


OMXVGI Market Premium Indicators

OMXVGI Backtested Returns

OMXVGI maintains Sharpe Ratio (i.e. Efficiency) of 0.0948 which implies OMXVGI had 0.0948% 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 OMXVGI 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 OMXVGI are completely uncorrelated. Although it is extremely important to respect OMXVGI 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 OMXVGI technical indicators you can currently evaluate if the expected return of 0.0221% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.73 

Good predictability

OMXVGI has good predictability. Overlapping area represents the amount of predictability between OMXVGI time series from May 20, 2018 to June 4, 2018 and June 4, 2018 to June 19, 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 OMXVGI price movement. The serial correlation of 0.73 indicates that around 73.0% of current OMXVGI price fluctuation can be explain by its past prices.
Correlation Coefficient 0.73
Spearman Rank Test 0.65
Price Variance 4.64
Lagged Price Variance 2.93

OMXVGI lagged returns against current returns

 Current and Lagged Values 

OMXVGI regressed lagged prices vs. current prices

 Current vs Lagged Prices 

OMXVGI Lagged Returns

 Regressed Prices 

Current Sentiment - OMXVGI

OMXVGI Investor Sentiment
Macroaxis traders are unemotional in their take regarding direction of OMXVGI Index. What is your perspective on investing in Lithuania companies? Are you bullish or bearish on OMXVGI?
50% Bullish
50% Bearish
Also Currentnly Active
Purchased over 100 shares of
six days ago
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six days ago
Traded for 6.24
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six days ago
Traded for 23.42
See also OMXVGI Hype Analysis, OMXVGI Correlation, Portfolio Optimization, OMXVGI Volatility as well as analyze OMXVGI Alpha and Beta and OMXVGI Performance. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.