Straits Tms (Singapore) Backtesting

STI -- Singapore Index  

 3,218  37.25  1.17%

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

August 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 22, 2018
0.00
If you would invest  0.00  in Straits Tms on August 23, 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

Downside Deviation0.7128
Information Ratio0.19
Maximum Drawdown3.25
Value At Risk1.14
Potential Upside1.19
  

Straits Tms Market Premium Indicators

Risk Adjusted Performance0.0206
Total Risk Alpha0.26
Sortino Ratio0.21

Straits Tms Backtested Returns

Straits Tms owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0619 which indicates Straits Tms had -0.0619% 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(0.85) 

Excellent reverse predictability

Straits Tms has excellent reverse predictability. Overlapping area represents the amount of predictability between Straits Tms time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 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 -0.85 indicates that around 85.0% 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-0.85
Spearman Rank Test-0.51
Residual Average0.0
Price Variance926.36

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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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