Russia TR (Russia) Backtesting

NQRUT -- Russia Index  

 1,560  22.00  1.43%

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

September 10, 2019
No Change 0.00  0.0 
In 2 months and 31 days
December 9, 2019
If you would invest  0.00  in Russia TR on September 10, 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

Downside Deviation1.16
Information Ratio(0.09)
Maximum Drawdown3.32
Value At Risk(0.71)
Potential Upside0.9968

Russia TR Market Premium Indicators

Risk Adjusted Performance0.0324
Total Risk Alpha(0.034066)
Sortino Ratio(0.038357)

Russia TR Backtested Returns

Russia TR maintains Sharpe Ratio (i.e. Efficiency) of 0.0982 which implies the entity had 0.0982% 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 extremely important to respect Russia TR current trending patterns, it is better to be realistic regarding the information on 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 0.1025% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.07 
correlation synergy

Virtually no predictability

Russia TR has virtually no predictability. Overlapping area represents the amount of predictability between Russia TR time series from September 10, 2019 to October 25, 2019 and October 25, 2019 to December 9, 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 0.07 indicates that barely 7.0% of current Russia TR price fluctuation can be explain by its past prices.
Correlation Coefficient0.07
Spearman Rank Test-0.04
Residual Average0.0
Price Variance577.87

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 

Current Sentiment - NQRUT

Russia TR Investor Sentiment

Most of Macroaxis investors are at this time bullish on Russia TR. What is your perspective on investing in Russia companies? Are you bullish or bearish on Russia TR?
98% Bullish
2% Bearish

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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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.