OMX COPENHAGEN (Denmark) Backtesting

OMXCGI -- Denmark Index  

 1,472  9.74  0.67%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of OMX COPENHAGEN and determine expected loss or profit from investing in OMX COPENHAGEN over given investment horizon. See also 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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

OMX COPENHAGEN 'What if' Analysis

June 23, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 21, 2019
0.00
If you would invest  0.00  in OMX COPENHAGEN on June 23, 2019 and sell it all today you would earn a total of 0.00 from holding OMX COPENHAGEN or generate 0.0% return on investment in OMX COPENHAGEN over 90 days.

OMX COPENHAGEN Upside/Downside Indicators

Downside Deviation1.06
Information Ratio(0.021341)
Maximum Drawdown5.18
Value At Risk(1.58)
Potential Upside1.44

OMX COPENHAGEN Market Premium Indicators

Risk Adjusted Performance0.0107
Total Risk Alpha(0.016423)
Sortino Ratio(0.016748)

OMX COPENHAGEN Backtested Returns

OMX COPENHAGEN maintains Sharpe Ratio (i.e. Efficiency) of 0.0477 which implies the entity had 0.0477% 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-one technical indicators for OMX COPENHAGEN 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 OMX COPENHAGEN are completely uncorrelated. Although it is extremely important to respect OMX COPENHAGEN 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 technical indicators you can currently evaluate if the expected return of 0.0398% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.03) 
correlation synergy

Very weak reverse predictability

OMX COPENHAGEN has very weak reverse predictability. Overlapping area represents the amount of predictability between OMX COPENHAGEN time series from June 23, 2019 to August 7, 2019 and August 7, 2019 to September 21, 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 OMX COPENHAGEN price movement. The serial correlation of -0.03 indicates that only 3.0% of current OMX COPENHAGEN price fluctuation can be explain by its past prices. Given that OMX COPENHAGEN 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-0.03
Spearman Rank Test-0.36
Residual Average0.0
Price Variance380.27

OMX COPENHAGEN 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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See also 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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