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Russia TR (Russia) Backtesting

NQR
NQRUT -- Russia Index  

 1,770  8.03  0.45%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Russia TR and determine expected loss or profit from investing in Russia TR over given investment horizon. Check out Russia TR Hype Analysis, Russia TR Correlation, Portfolio Optimization, Russia TR Volatility as well as analyze Russia TR Alpha and Beta and Russia TR Performance.
SymbolX
Backtest

Russia TR 'What if' Analysis

November 23, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
February 21, 2020
0.00
If you would invest  0.00  in Russia TR on November 23, 2019 and sell it all today you would earn a total of 0.00 from holding Russia TR or generate 0.0% return on investment in Russia TR over 90 days.

Russia TR Upside/Downside Indicators

Downside Deviation2.75
Information Ratio0.0242
Maximum Drawdown10.38
Value At Risk(2.45)
Potential Upside2.72

Russia TR Market Premium Indicators

Risk Adjusted Performance0.054
Total Risk Alpha(0.030592)
Sortino Ratio0.0156

Russia TR Backtested Returns

Russia TR maintains Sharpe Ratio (i.e. Efficiency) of 0.1188 which implies the entity had 0.1188% of return per unit of risk over the last 3 months. Our philosophy towards forecasting 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-six technical indicators for Russia TR which you can use to evaluate future volatility of the index. The index holds Beta of 0.0 which implies the returns on MARKET and Russia TR are completely uncorrelated. Although it is extremely important to respect Russia TR current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting 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 analyzing Russia TR technical indicators you can presently evaluate if the expected return of 0.2119% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.43) 
correlation synergy

Modest reverse predictability

Russia TR has modest reverse predictability. Overlapping area represents the amount of predictability between Russia TR time series from November 23, 2019 to January 7, 2020 and January 7, 2020 to February 21, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Russia TR price movement. The serial correlation of -0.43 indicates that just about 43.0% of current Russia TR price fluctuation can be explain by its past prices. Given that Russia TR has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Russia TR for similar time interval.
Correlation Coefficient-0.43
Spearman Rank Test-0.42
Residual Average0.0
Price Variance1787.4

Russia TR lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Russia TR regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Russia TR Lagged Returns

 Regressed Prices 
    
  Timeline 

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Check out Russia TR Hype Analysis, Russia TR Correlation, Portfolio Optimization, Russia TR Volatility as well as analyze Russia TR Alpha and Beta and Russia TR Performance. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.