All Ords (Australia) Backtesting

AORD -- Australia Index  

 6,627  141.50  2.18%

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

All Ords 'What if' Analysis

June 21, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 20, 2019
0.00
If you would invest  0.00  in All Ords on June 21, 2019 and sell it all today you would earn a total of 0.00 from holding All Ords or generate 0.0% return on investment in All Ords over 60 days.

All Ords Upside/Downside Indicators

Downside Deviation1.15
Information Ratio0.1197
Maximum Drawdown4.32
Value At Risk(1.98)
Potential Upside1.46

All Ords Market Premium Indicators

Risk Adjusted Performance0.0677
Total Risk Alpha0.1114
Sortino Ratio0.0963

All Ords Backtested Returns

All Ords secures Sharpe Ratio (or Efficiency) of -0.0433 which signifies that the index had -0.0433% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. All Ords exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and All Ords are completely uncorrelated. Even though it is essential to pay attention to All Ords historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. All Ords exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.24) 
correlation synergy

Weak reverse predictability

All Ords has weak reverse predictability. Overlapping area represents the amount of predictability between All Ords time series from June 21, 2019 to July 21, 2019 and July 21, 2019 to August 20, 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 All Ords price movement. The serial correlation of -0.24 indicates that over 24.0% of current All Ords price fluctuation can be explain by its past prices. Given that All Ords has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of All Ords for similar time interval.
Correlation Coefficient-0.24
Spearman Rank Test-0.5
Residual Average0.0
Price Variance21145.8

All Ords lagged returns against current returns

 Current and Lagged Values 
      Timeline 

All Ords regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

All Ords Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - AORD

All Ords Investor Sentiment

Most of Macroaxis investors are at this time bullish on All Ords. What is your sentiment towards investing in Australia companies? Are you bullish or bearish on All Ords?
Bullish
Bearish
98% Bullish
2% Bearish
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See also All Ords Hype Analysis, All Ords Correlation, Portfolio Optimization, All Ords Volatility as well as analyze All Ords Alpha and Beta and All Ords Performance. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.
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