OMX Copenhagen (Sweden) Backtesting

OC
OMXCBPI -- Sweden Index  

 1,066  33.38  3.04%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of OMX Copenhagen BenchmarkPI and determine expected loss or profit from investing in OMX Copenhagen over given investment horizon. Check out OMX Copenhagen Hype Analysis, OMX Copenhagen Correlation, Portfolio Optimization, OMX Copenhagen Volatility as well as analyze OMX Copenhagen Alpha and Beta and OMX Copenhagen Performance.
Symbol
Backtest

OMX Copenhagen 'What if' Analysis

0.00
02/27/2020
No Change 0.00  0.0 
In 3 months and 1 day
05/27/2020
0.00
If you would invest  0.00  in OMX Copenhagen on February 27, 2020 and sell it all today you would earn a total of 0.00 from holding OMX Copenhagen BenchmarkPI or generate 0.0% return on investment in OMX Copenhagen over 90 days.

OMX Copenhagen Upside/Downside Indicators

Downside Deviation3.11
Information Ratio0.0763
Maximum Drawdown11.94
Value At Risk(5.02)
Potential Upside3.49

OMX Copenhagen Market Premium Indicators

Risk Adjusted Performance0.0773
Total Risk Alpha0.1361
Sortino Ratio0.0622

OMX Copenhagen Bench Backtested Returns

OMX Copenhagen Bench maintains Sharpe Ratio (i.e. Efficiency) of 0.0465, which implies the entity had 0.0465% of return per unit of standard deviation 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-eight technical indicators for OMX Copenhagen Bench, which you can use to evaluate future volatility of the index. The index holds a Beta of 0.0, which implies the returns on MARKET and OMX Copenhagen are completely uncorrelated. Although it is extremely important to respect OMX Copenhagen Bench 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 reviewing OMX Copenhagen Bench technical indicators you can currently evaluate if the expected return of 0.1155% will be sustainable into the future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.13) 
correlation synergy

Insignificant reverse predictability

OMX Copenhagen BenchmarkPI has insignificant reverse predictability. Overlapping area represents the amount of predictability between OMX Copenhagen time series from 27th of February 2020 to 12th of April 2020 and 12th of April 2020 to 27th of May 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of OMX Copenhagen Bench price movement. The serial correlation of -0.13 indicates that less than 13.0% of current OMX Copenhagen price fluctuation can be explain by its past prices. Given that OMX Copenhagen BenchmarkPI has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of OMX Copenhagen for similar time interval.
Correlation Coefficient-0.13
Spearman Rank Test-0.36
Residual Average0.0
Price Variance1060.41

OMX Copenhagen Bench lagged returns against current returns

 Current and Lagged Values 
      Timeline 

OMX Copenhagen regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

OMX Copenhagen Lagged Returns

 Regressed Prices 
      Timeline 

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Check out OMX Copenhagen Hype Analysis, OMX Copenhagen Correlation, Portfolio Optimization, OMX Copenhagen Volatility as well as analyze OMX Copenhagen Alpha and Beta and OMX Copenhagen 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.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page