Jakarta Comp (Indonesia) Backtesting

JKSE -- Indonesia Index  

 6,193  6.45  0.10%

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

Jakarta Comp 'What if' Analysis

September 9, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 8, 2019
0.00
If you would invest  0.00  in Jakarta Comp on September 9, 2019 and sell it all today you would earn a total of 0.00 from holding Jakarta Comp or generate 0.0% return on investment in Jakarta Comp over 90 days.

Jakarta Comp Upside/Downside Indicators

Information Ratio(0.14)
Maximum Drawdown2.74
Value At Risk(1.11)
Potential Upside1.36

Jakarta Comp Market Premium Indicators

Risk Adjusted Performance(0.022235)
Total Risk Alpha(0.11)

Jakarta Comp Backtested Returns

Jakarta Comp holds Efficiency (Sharpe) Ratio of -0.045 which attests that the entity had -0.045% of return per unit of risk over the last 3 months. Macroaxis philosophy towards determining 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. Jakarta Comp exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Jakarta Comp are completely uncorrelated. Even though it is essential to pay attention to Jakarta Comp current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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. Jakarta Comp exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.76 
correlation synergy

Good predictability

Jakarta Comp has good predictability. Overlapping area represents the amount of predictability between Jakarta Comp time series from September 9, 2019 to October 24, 2019 and October 24, 2019 to December 8, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Jakarta Comp price movement. The serial correlation of 0.76 indicates that around 76.0% of current Jakarta Comp price fluctuation can be explain by its past prices.
Correlation Coefficient0.76
Spearman Rank Test0.47
Residual Average0.0
Price Variance6470.77

Jakarta Comp lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Jakarta Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Jakarta Comp Lagged Returns

 Regressed Prices 
      Timeline 

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See also Jakarta Comp Hype Analysis, Jakarta Comp Correlation, Portfolio Optimization, Jakarta Comp Volatility as well as analyze Jakarta Comp Alpha and Beta and Jakarta Comp Performance. Please also try Instant Ratings module to determine any equity ratings based on digital recommendations. macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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