Straits Tms (Singapore) Backtesting

STI -- Singapore Index  

 3,301  22.69  0.68%

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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Straits Tms 'What if' Analysis

May 20, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 19, 2018
0.00
If you would invest  0.00  in Straits Tms on May 20, 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 30 days.

Straits Tms Upside/Downside Indicators

Information Ratio0.38
Maximum Drawdown2.91
Value At Risk1.32
Potential Upside0.9339
  

Straits Tms Market Premium Indicators

Risk Adjusted Performance0.01

Straits Tms Backtested Returns

Straits Tms owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.4336 which indicates Straits Tms had -0.4336% of return per unit of risk over the last 1 month. 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 0.66 

Good predictability

Straits Tms has good predictability. Overlapping area represents the amount of predictability between Straits Tms time series from May 20, 2018 to June 4, 2018 and June 4, 2018 to June 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 Straits Tms price movement. The serial correlation of 0.66 indicates that around 66.0% of current Straits Tms price fluctuation can be explain by its past prices.
Correlation Coefficient 0.66
Spearman Rank Test 0.58
Price Variance 1529.48
Lagged Price Variance 2072.01

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 Analysis module to research over 250,000 global equities including funds, stocks and etfs to find investment opportunities.