Straits Tms (Singapore) Backtesting

STI -- Singapore Index  

 3,195  1.60  0.05%

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

Straits Tms '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 Straits Tms on September 10, 2019 and sell it all today you would earn a total of 0.00 from holding Straits Tms or generate 0.0% return on investment in Straits Tms over 90 days. Straits Tms is entity of Singapore. It is traded as Index on Index exchange.

Straits Tms Upside/Downside Indicators

Downside Deviation0.5479
Information Ratio(0.07)
Maximum Drawdown2.9
Value At Risk(0.87)
Potential Upside0.8346

Straits Tms Market Premium Indicators

Risk Adjusted Performance0.0333
Total Risk Alpha(0.038242)
Sortino Ratio(0.07)

Straits Tms Backtested Returns

Straits Tms owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0346 which indicates the organization had 0.0346% 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 Straits Tms 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 Straits Tms are completely uncorrelated. Although it is extremely important to respect Straits Tms 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 Straits Tms technical indicators you can presently evaluate if the expected return of 0.0204% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.20 
correlation synergy

Weak predictability

Straits Tms has weak predictability. Overlapping area represents the amount of predictability between Straits Tms 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 Straits Tms price movement. The serial correlation of 0.2 indicates that over 20.0% of current Straits Tms price fluctuation can be explain by its past prices.
Correlation Coefficient0.2
Spearman Rank Test0.11
Residual Average0.0
Price Variance956.53

Straits Tms lagged returns against current returns

 Current and Lagged Values 

Straits Tms regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Straits Tms Lagged Returns

 Regressed Prices 

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See also Straits Tms Hype Analysis, Straits Tms Correlation, Portfolio Optimization, Straits Tms Volatility as well as analyze Straits Tms Alpha and Beta and Straits Tms Performance. Please also try Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. drill down to check world indexes.