Stockholm (Sweden) Backtesting

OMXSPI -- Sweden Index  

 621.69  6.88  1.09%

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

Stockholm 'What if' Analysis

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

Stockholm Upside/Downside Indicators

Downside Deviation1.06
Information Ratio0.0049
Maximum Drawdown4.17
Value At Risk(1.24)
Potential Upside1.31

Stockholm Market Premium Indicators

Risk Adjusted Performance0.0478
Total Risk Alpha0.0058
Sortino Ratio0.0039

Stockholm Backtested Returns

Stockholm owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.017 which indicates the organization had 0.017% of return per unit of risk over the last 3 months. Our philosophy towards measuring 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 Stockholm which you can use to evaluate future volatility of the index. The entity has beta of 0.0 which indicates the returns on MARKET and Stockholm are completely uncorrelated. Although it is extremely important to respect Stockholm current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Stockholm technical indicators you can presently evaluate if the expected return of 0.0147% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.38) 
correlation synergy

Poor reverse predictability

Stockholm has poor reverse predictability. Overlapping area represents the amount of predictability between Stockholm 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 Stockholm price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Stockholm price fluctuation can be explain by its past prices. Given that Stockholm has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Stockholm for similar time interval.
Correlation Coefficient-0.38
Spearman Rank Test-0.32
Residual Average0.0
Price Variance208.13

Stockholm lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Stockholm regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Stockholm Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - OMXSPI

Stockholm Investor Sentiment

Macroaxis traders are unemotional in their take regarding direction of Stockholm Index. What is your outlook on investing in Sweden companies? Are you bullish or bearish on Stockholm?
Bullish
Bearish
50% Bullish
50% Bearish
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See also Stockholm Hype Analysis, Stockholm Correlation, Portfolio Optimization, Stockholm Volatility as well as analyze Stockholm Alpha and Beta and Stockholm Performance. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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