OMXVGI (Lithuania) Backtesting

OMXVGI -- Lithuania Index  

 630.54  0.37  0.06%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

OMXVGI 'What if' Analysis

October 14, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 13, 2018
0.00
If you would invest  0.00  in OMXVGI on October 14, 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 60 days.

OMXVGI Upside/Downside Indicators

Information Ratio(0.006396)
Maximum Drawdown2.54
Value At Risk(1.43)
Potential Upside0.8227
  

OMXVGI Market Premium Indicators

Risk Adjusted Performance(0.38)
Total Risk Alpha(0.1)

OMXVGI Backtested Returns

OMXVGI maintains Sharpe Ratio (i.e. Efficiency) of -0.2282 which implies OMXVGI had -0.2282% of return per unit of standard deviation over the last 2 months. 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. OMXVGI exposes twenty-eight 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 OMXVGI are completely uncorrelated. Even though it is essential to pay attention to OMXVGI 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. OMXVGI exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.45 
correlation synergy

Average predictability

OMXVGI has average predictability. Overlapping area represents the amount of predictability between OMXVGI time series from October 14, 2018 to November 13, 2018 and November 13, 2018 to December 13, 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 0.45 indicates that just about 45.0% of current OMXVGI price fluctuation can be explain by its past prices.
Correlation Coefficient0.45
Spearman Rank Test0.37
Residual Average0.0
Price Variance14.33

OMXVGI lagged returns against current returns

 Current and Lagged Values 
      Timeline 

OMXVGI regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

OMXVGI Lagged Returns

 Regressed Prices 
      Timeline 

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?
Bullish
Bearish
50% Bullish
50% Bearish
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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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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