Stockholm (Sweden) Backtesting

OMXSPI -- Sweden Index  

 658.62  1.05  0.16%

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

Stockholm 'What if' Analysis

August 17, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 15, 2019
If you would invest  0.00  in Stockholm on August 17, 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 Deviation1.45
Information Ratio0.0618
Maximum Drawdown6.03
Value At Risk(1.44)
Potential Upside1.58

Stockholm Market Premium Indicators

Risk Adjusted Performance0.1399
Total Risk Alpha0.0088
Sortino Ratio0.0456

Stockholm Backtested Returns

Stockholm owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1553 which indicates the organization had 0.1553% 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-eight 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 0.1659% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.85 
correlation synergy

Very good predictability

Stockholm has very good predictability. Overlapping area represents the amount of predictability between Stockholm time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 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 0.85 indicates that around 85.0% of current Stockholm price fluctuation can be explain by its past prices.
Correlation Coefficient0.85
Spearman Rank Test0.79
Residual Average0.0
Price Variance423.47

Stockholm lagged returns against current returns

 Current and Lagged Values 

Stockholm regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Stockholm Lagged Returns

 Regressed Prices 

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?
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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.