Straits Tms (Singapore) Backtesting

Straits Tms -- Singapore Index  

 3,444  27.54  0.81%

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

Straits Tms 'What if' Analysis

January 22, 2018
No Change 0.00  0.0%
In 31 days
February 21, 2018
If you would invest  0.00  in Straits Tms on January 22, 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


Straits Tms Market Premium Indicators

Straits Tms lagged returns against current returns

 Current and Lagged Values 

Straits Tms regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Straits Tms Backtested Returns

Straits Tms owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2054 which indicates Straits Tms had -0.2054% 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-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 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-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.48) 

Modest reverse predictability

Straits Tms has modest reverse predictability. Overlapping area represents the amount of predictability between Straits Tms time series from January 22, 2018 to February 6, 2018 and February 6, 2018 to February 21, 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 -0.48 indicates that about 48.0% of current Straits Tms price fluctuation can be explain by its past prices. Given that Straits Tms has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Straits Tms for similar time interval.
Correlation Coefficient -0.48
Spearman Rank Test -0.32
Price Variance 525.15
Lagged Price Variance 482.51

Straits Tms Lagged Returns

 Regressed Prices 

Straits Tms Performance vs Straits Tms

The median price of Straits Tms for the period between Mon, Jan 22, 2018 and Wed, Feb 21, 2018 is 3533.99 with a coefficient of variation of 2.25. The daily time series for the period is distributed with a sample standard deviation of 78.71, arithmetic mean of 3498.8, and mean deviation of 70.6. The Index did not receive any noticable media coverage during the period.
Price Growth (%)