OMXVGI (Lithuania) Backtesting

OMXVGI -- Lithuania Index  

 658.42  0.97  0.15%

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
Investment Horizon     30 Days    Login   to change

OMXVGI 'What if' Analysis

October 24, 2017
No Change 0.00  0.0%
In 1 month and 1 day
November 24, 2017
If you would invest  0.00  in OMXVGI on October 25, 2017 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 is entity of Lithuania. It is traded as Index on Index exchange.

OMXVGI Upside/Downside Indicators


OMXVGI Market Premium Indicators

OMXVGI lagged returns against current returns

 Current and Lagged Values 

OMXVGI regressed lagged prices vs. current prices

 Current vs Lagged Prices 

OMXVGI Backtested Returns

OMXVGI maintains Sharpe Ratio (i.e. Efficiency) of 0.0289 which implies OMXVGI had 0.0289% 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-one 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 0.0087% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.29) 

Weak reverse predictability

OMXVGI has weak reverse predictability. Overlapping area represents the amount of predictability between OMXVGI time series from October 25, 2017 to November 9, 2017 and November 9, 2017 to November 24, 2017. 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 -0.29 indicates that nearly 29.0% of current OMXVGI price fluctuation can be explain by its past prices. Given that OMXVGI has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of OMXVGI for similar time interval.
Correlation Coefficient -0.29
Spearman Rank Test -0.56
Price Variance 3.43
Lagged Price Variance 6.26

OMXVGI Lagged Returns

 Regressed Prices 

OMXVGI Performance vs OMXVGI

The median price of OMXVGI for the period between Wed, Oct 25, 2017 and Fri, Nov 24, 2017 is 660.93 with a coefficient of variation of 0.43. The daily time series for the period is distributed with a sample standard deviation of 2.81, arithmetic mean of 660.5, and mean deviation of 2.18. The Index did not receive any noticable media coverage during the period.
Price Growth (%)