Madrid Gnrl (Spain) Backtesting

SMSI -- Spain Index  

 936.04  7.92  0.84%

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

Madrid Gnrl 'What if' Analysis

September 15, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 14, 2019
0.00
If you would invest  0.00  in Madrid Gnrl on September 15, 2019 and sell it all today you would earn a total of 0.00 from holding Madrid Gnrl or generate 0.0% return on investment in Madrid Gnrl over 90 days.

Madrid Gnrl Upside/Downside Indicators

Downside Deviation0.8506
Information Ratio0.0133
Maximum Drawdown3.89
Value At Risk(1.33)
Potential Upside1.21

Madrid Gnrl Market Premium Indicators

Risk Adjusted Performance0.0511
Total Risk Alpha(0.003887)
Sortino Ratio0.0126

Madrid Gnrl Backtested Returns

Madrid Gnrl has Sharpe Ratio of 0.0809 which conveys that the entity had 0.0809% of return per unit of risk over the last 3 months. Our philosophy towards estimating 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 Madrid Gnrl which you can use to evaluate future volatility of the organization. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and Madrid Gnrl are completely uncorrelated. Although it is extremely important to respect Madrid Gnrl price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating 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 Madrid Gnrl technical indicators you can presently evaluate if the expected return of 0.0651% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.24 
correlation synergy

Weak predictability

Madrid Gnrl has weak predictability. Overlapping area represents the amount of predictability between Madrid Gnrl time series from September 15, 2019 to October 30, 2019 and October 30, 2019 to December 14, 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 Madrid Gnrl price movement. The serial correlation of 0.24 indicates that over 24.0% of current Madrid Gnrl price fluctuation can be explain by its past prices.
Correlation Coefficient0.24
Spearman Rank Test0.09
Residual Average0.0
Price Variance72.9

Madrid Gnrl lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Madrid Gnrl regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Madrid Gnrl Lagged Returns

 Regressed Prices 
      Timeline 

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See also Madrid Gnrl Hype Analysis, Madrid Gnrl Correlation, Portfolio Optimization, Madrid Gnrl Volatility as well as analyze Madrid Gnrl Alpha and Beta and Madrid Gnrl Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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