Russia TR (Russia) Backtesting

NQRUT -- Russia Index  

 1,482  25.19  1.73%

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

Russia TR 'What if' Analysis

June 20, 2019
No Change 0.00  0.0%
In 3 months and 1 day
September 18, 2019
If you would invest  0.00  in Russia TR on June 20, 2019 and sell it all today you would earn a total of 0.00 from holding Russia TR or generate 0.0% return on investment in Russia TR over 90 days.

Russia TR Upside/Downside Indicators

Information Ratio0.5522
Maximum Drawdown0.5862
Value At Risk(0.044588)
Potential Upside1.73

Russia TR Market Premium Indicators

Risk Adjusted Performance0.5444
Total Risk Alpha0.3287

Russia TR Backtested Returns

Russia TR maintains Sharpe Ratio (i.e. Efficiency) of 0.6247 which implies the entity had 0.6247% of return per unit of risk over the last 3 months. Our philosophy towards forecasting volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Russia TR which you can use to evaluate future volatility of the index. The index holds Beta of 0.0 which implies the returns on MARKET and Russia TR are completely uncorrelated. Although it is vital to follow to Russia TR current trending patterns, it is good to be conservative about what you can actually do with the information regarding equity existing price patterns. The philosophy towards forecasting 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 analyzing Russia TR technical indicators you can presently evaluate if the expected return of 0.3594% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.00 
correlation synergy

No correlation between past and present

Russia TR has no correlation between past and present. Overlapping area represents the amount of predictability between Russia TR time series from June 20, 2019 to August 4, 2019 and August 4, 2019 to September 18, 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 Russia TR price movement. The serial correlation of 0.0 indicates that just 0.0% of current Russia TR price fluctuation can be explain by its past prices.
Correlation Coefficient0.0
Spearman Rank Test0.0
Residual Average0.0
Price Variance0.0

Russia TR lagged returns against current returns

 Current and Lagged Values 

Russia TR regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Russia TR Lagged Returns

 Regressed Prices 

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See also Russia TR Hype Analysis, Russia TR Correlation, Portfolio Optimization, Russia TR Volatility as well as analyze Russia TR Alpha and Beta and Russia TR Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.