Taiwan Wtd (Taiwan) Backtesting

TWII -- Taiwan Index  

 10,932  96.73  0.89%

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

Taiwan Wtd 'What if' Analysis

June 22, 2018
No Change 0.00  0.0%
In 31 days
July 22, 2018
If you would invest  0.00  in Taiwan Wtd on June 22, 2018 and sell it all today you would earn a total of 0.00 from holding Taiwan Wtd or generate 0.0% return on investment in Taiwan Wtd over 30 days.

Taiwan Wtd Upside/Downside Indicators

Downside Deviation0.8073
Information Ratio0.0048
Maximum Drawdown2.34
Value At Risk1.16
Potential Upside1.17

Taiwan Wtd Market Premium Indicators

Risk Adjusted Performance0.0833
Total Risk Alpha0.030538
Sortino Ratio0.0038

Taiwan Wtd Backtested Returns

Taiwan Wtd owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0194 which indicates Taiwan Wtd had 0.0194% 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-eight technical indicators for Taiwan Wtd 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 Taiwan Wtd are completely uncorrelated. Although it is extremely important to respect Taiwan Wtd 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 Taiwan Wtd technical indicators you can presently evaluate if the expected return of 0.0118% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.47) 

Modest reverse predictability

Taiwan Wtd has modest reverse predictability. Overlapping area represents the amount of predictability between Taiwan Wtd time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 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 Taiwan Wtd price movement. The serial correlation of -0.47 indicates that about 47.0% of current Taiwan Wtd price fluctuation can be explain by its past prices. Given that Taiwan Wtd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Taiwan Wtd for similar time interval.
Correlation Coefficient -0.47
Spearman Rank Test -0.66
Price Variance 10157.57
Lagged Price Variance 8800.4

Taiwan Wtd lagged returns against current returns

 Current and Lagged Values 

Taiwan Wtd regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Taiwan Wtd Lagged Returns

 Regressed Prices 

Current Sentiment - TWII

Taiwan Wtd Investor Sentiment
Most of Macroaxis investors are at this time bullish on Taiwan Wtd. What is your outlook on investing in Taiwan companies? Are you bullish or bearish on Taiwan Wtd?
98% Bullish
2% Bearish

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See also Taiwan Wtd Hype Analysis, Taiwan Wtd Correlation, Portfolio Optimization, Taiwan Wtd Volatility as well as analyze Taiwan Wtd Alpha and Beta and Taiwan Wtd Performance. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.