Taiwan Wtd (Taiwan) Backtesting

TWII -- Taiwan Index  

 11,610  14.99  0.13%

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

Taiwan Wtd 'What if' Analysis

September 7, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 6, 2019
0.00
If you would invest  0.00  in Taiwan Wtd on September 7, 2019 and sell it all today you would earn a total of 0.00 from holding Taiwan Wtd or generate 0.0% return on investment in Taiwan Wtd over 90 days.

Taiwan Wtd Upside/Downside Indicators

Downside Deviation0.5446
Information Ratio0.1283
Maximum Drawdown2.98
Value At Risk(0.66)
Potential Upside0.9386

Taiwan Wtd Market Premium Indicators

Risk Adjusted Performance0.1549
Total Risk Alpha0.0765
Sortino Ratio0.133

Taiwan Wtd Backtested Returns

Taiwan Wtd owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2093 which indicates the organization had 0.2093% 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 Taiwan Wtd 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 Taiwan Wtd are completely uncorrelated. Although it is extremely important to respect Taiwan Wtd 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 Taiwan Wtd technical indicators you can presently evaluate if the expected return of 0.1181% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.46 
correlation synergy

Average predictability

Taiwan Wtd has average predictability. Overlapping area represents the amount of predictability between Taiwan Wtd time series from September 7, 2019 to October 22, 2019 and October 22, 2019 to December 6, 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 Taiwan Wtd price movement. The serial correlation of 0.46 indicates that about 46.0% of current Taiwan Wtd price fluctuation can be explain by its past prices.
Correlation Coefficient0.46
Spearman Rank Test0.39
Residual Average0.0
Price Variance15911.03

Taiwan Wtd lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Taiwan Wtd regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Taiwan Wtd Lagged Returns

 Regressed Prices 
      Timeline 

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See also Taiwan Wtd Hype Analysis, Taiwan Wtd Correlation, Portfolio Optimization, Taiwan Wtd Volatility as well as analyze Taiwan Wtd Alpha and Beta and Taiwan Wtd Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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