Straits Tms (Singapore) Backtesting

STI -- Singapore Index  

 3,059  13.16  0.43%

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

Straits Tms 'What if' Analysis

October 12, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 11, 2018
0.00
If you would invest  0.00  in Straits Tms on October 12, 2018 and sell it all today you would earn a total of 0.00 from holding Straits Tms or generate 0.0% return on investment in Straits Tms over 60 days.

Straits Tms Upside/Downside Indicators

Information Ratio0.0806
Maximum Drawdown3.62
Value At Risk(1.52)
Potential Upside1.76
  

Straits Tms Market Premium Indicators

Risk Adjusted Performance(0.10)
Total Risk Alpha0.0375

Straits Tms Backtested Returns

Straits Tms owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0038 which indicates Straits Tms had -0.0038% 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. Straits Tms exposes twenty-eight 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 Straits Tms are completely uncorrelated. Even though it is essential to pay attention to Straits Tms 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. Straits Tms exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.10 
correlation synergy

Insignificant predictability

Straits Tms has insignificant predictability. Overlapping area represents the amount of predictability between Straits Tms time series from October 12, 2018 to November 11, 2018 and November 11, 2018 to December 11, 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 Straits Tms price movement. The serial correlation of 0.1 indicates that less than 10.0% of current Straits Tms price fluctuation can be explain by its past prices.
Correlation Coefficient0.1
Spearman Rank Test0.09
Residual Average0.0
Price Variance1806.62

Straits Tms lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Straits Tms regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Straits Tms Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - STI

Straits Tms Investor Sentiment

Most of Macroaxis investors are at this time bullish on Straits Tms. What is your outlook on investing in Singapore companies? Are you bullish or bearish on Straits Tms?
Bullish
Bearish
98% Bullish
2% Bearish
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See also Straits Tms Hype Analysis, Straits Tms Correlation, Portfolio Optimization, Straits Tms Volatility as well as analyze Straits Tms Alpha and Beta and Straits Tms Performance. Please also try Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.
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