Swiss Mrt (Switzerland) Backtesting

SSMI -- Switzerland Index  

 10,410  46.79  0.45%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Swiss Mrt 'What if' Analysis

September 7, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 6, 2019
0.00
If you would invest  0.00  in Swiss Mrt on September 7, 2019 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 90 days.

Swiss Mrt Upside/Downside Indicators

Downside Deviation0.7112
Information Ratio(0.027348)
Maximum Drawdown2.93
Value At Risk(1.15)
Potential Upside0.9565

Swiss Mrt Market Premium Indicators

Risk Adjusted Performance0.0568
Total Risk Alpha(0.020052)
Sortino Ratio(0.024414)

Swiss Mrt Backtested Returns

Swiss Mrt owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0764 which indicates the organization had 0.0764% of return per unit of risk over the last 3 months. 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 Swiss Mrt 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 Swiss Mrt are completely uncorrelated. Although it is extremely important to respect Swiss Mrt 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 Swiss Mrt technical indicators you can presently evaluate if the expected return of 0.0485% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.19) 
correlation synergy

Insignificant reverse predictability

Swiss Mrt has insignificant reverse predictability. Overlapping area represents the amount of predictability between Swiss Mrt time series from September 7, 2019 to October 22, 2019 and October 22, 2019 to December 6, 2019. 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 -0.19 indicates that over 19.0% 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-0.19
Spearman Rank Test-0.26
Residual Average0.0
Price Variance14675.33

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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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