Straits Tms (Singapore) Backtesting

Straits Tms -- Singapore Index  

 3,382  41.08  1.23%

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
Investment Horizon     30 Days    Login   to change

Straits Tms 'What if' Analysis

October 22, 2017
No Change 0.00  0.0%
In 30 days
November 21, 2017
If you would invest  0.00  in Straits Tms on October 22, 2017 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 is entity of Singapore. It is traded as Index on Index exchange.

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 0.0919 which indicates Straits Tms had 0.0919% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Straits Tms 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 Straits Tms are completely uncorrelated. Although it is extremely important to respect Straits Tms 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 Straits Tms technical indicators you can presently evaluate if the expected return of 0.0525% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.41) 

Modest reverse predictability

Straits Tms has modest reverse predictability. Overlapping area represents the amount of predictability between Straits Tms time series from October 22, 2017 to November 6, 2017 and November 6, 2017 to November 21, 2017. 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 -0.41 indicates that just about 41.0% 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 -0.41
Spearman Rank Test -0.2
Price Variance 745.06
Lagged Price Variance 368.66

Straits Tms Lagged Returns

 Regressed Prices 

Straits Tms Performance vs Straits Tms

The median price of Straits Tms for the period between Sun, Oct 22, 2017 and Tue, Nov 21, 2017 is 3375.97 with a coefficient of variation of 0.99. The daily time series for the period is distributed with a sample standard deviation of 33.34, arithmetic mean of 3373.24, and mean deviation of 28.19. The Index did not receive any noticable media coverage during the period.
Price Growth (%)