SPTSX Comp Backtesting

GSPTSE -- Canada Index  

 16,943  7.86  0.0464%

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

SPTSX Comp 'What if' Analysis

September 12, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 11, 2019
If you would invest  0.00  in SPTSX Comp on September 12, 2019 and sell it all today you would earn a total of 0.00 from holding SPTSX Comp or generate 0.0% return on investment in SPTSX Comp over 90 days.

SPTSX Comp Upside/Downside Indicators

Downside Deviation0.7053
Information Ratio(0.035793)
Maximum Drawdown2.92
Value At Risk(0.87)
Potential Upside0.7846

SPTSX Comp Market Premium Indicators

Risk Adjusted Performance0.0404
Total Risk Alpha(0.018472)
Sortino Ratio(0.029377)

SPTSX Comp Backtested Returns

SPTSX Comp owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0581 which indicates the organization had 0.0581% of return per unit of standard deviation 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 SPTSX Comp 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 SPTSX Comp are completely uncorrelated. Although it is extremely important to respect SPTSX Comp 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 evaluating SPTSX Comp technical indicators you can currently evaluate if the expected return of 0.0338% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.68) 
correlation synergy

Very good reverse predictability

SPTSX Comp has very good reverse predictability. Overlapping area represents the amount of predictability between SPTSX Comp time series from September 12, 2019 to October 27, 2019 and October 27, 2019 to December 11, 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 SPTSX Comp price movement. The serial correlation of -0.68 indicates that around 68.0% of current SPTSX Comp price fluctuation can be explain by its past prices. Given that SPTSX Comp has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of SPTSX Comp for similar time interval.
Correlation Coefficient-0.68
Spearman Rank Test-0.17
Residual Average0.0
Price Variance37996.57

SPTSX Comp lagged returns against current returns

 Current and Lagged Values 

SPTSX Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 

SPTSX Comp Lagged Returns

 Regressed Prices 

Current Sentiment - GSPTSE

SPTSX Comp Investor Sentiment

Most of Macroaxis investors are at this time bullish on SPTSX Comp. What is your outlook on investing in Canada companies? Are you bullish or bearish on SPTSX Comp?
98% Bullish
2% Bearish

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See also SPTSX Comp Hype Analysis, SPTSX Comp Correlation, Portfolio Optimization, SPTSX Comp Volatility as well as analyze SPTSX Comp Alpha and Beta and SPTSX Comp 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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