Swiss Mrt (Switzerland) Backtesting

Swiss Mrt -- Switzerland Index  

 8,832  11.84  0.13%

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

Swiss Mrt 'What if' Analysis

February 18, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 19, 2018
0.00
If you would invest  0.00  in Swiss Mrt on February 18, 2018 and sell it all today you would earn a total of 0.00 from holding Swiss Mrt or generate 0.0% return on investment in Swiss Mrt over 60 days.

Swiss Mrt Upside/Downside Indicators

Information Ratio0.0137
Maximum Drawdown3.85
Value At Risk1.59
Potential Upside1.36
  

Swiss Mrt Market Premium Indicators

Risk Adjusted Performance0.034915
Total Risk Alpha0.005799

Swiss Mrt Backtested Returns

Swiss Mrt owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0187 which indicates Swiss Mrt had -0.0187% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring 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. Swiss Mrt exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The entity has beta of 0.0 which indicates the returns on MARKET and Swiss Mrt are completely uncorrelated. Even though it is essential to pay attention to Swiss Mrt current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring 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. Swiss Mrt exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.17) 

Insignificant reverse predictability

Swiss Mrt has insignificant reverse predictability. Overlapping area represents the amount of predictability between Swiss Mrt time series from February 18, 2018 to March 20, 2018 and March 20, 2018 to April 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 Swiss Mrt price movement. The serial correlation of -0.17 indicates that over 17.0% of current Swiss Mrt price fluctuation can be explain by its past prices. Given that Swiss Mrt has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Swiss Mrt for similar time interval.
Correlation Coefficient -0.17
Spearman Rank Test -0.11
Price Variance 9114.54
Lagged Price Variance 7539.89

Swiss Mrt lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Swiss Mrt regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Swiss Mrt Lagged Returns

 Regressed Prices 
      Timeline 

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See also Swiss Mrt Hype Analysis, Swiss Mrt Correlation, Portfolio Optimization, Swiss Mrt Volatility as well as analyze Swiss Mrt Alpha and Beta and Swiss Mrt Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.