All Ords (Australia) Backtesting

AORD -- Australia Index  

 6,814  22.40  0.33%

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

All Ords 'What if' Analysis

September 8, 2019
No Change 0.00  0.0 
In 2 months and 31 days
December 7, 2019
If you would invest  0.00  in All Ords on September 8, 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 90 days.

All Ords Upside/Downside Indicators

Downside Deviation0.882
Information Ratio(0.08)
Maximum Drawdown3.29
Value At Risk(1.45)
Potential Upside0.8855

All Ords Market Premium Indicators

Risk Adjusted Performance0.0152
Total Risk Alpha(0.07)
Sortino Ratio(0.06)

All Ords Backtested Returns

All Ords secures Sharpe Ratio (or Efficiency) of 0.0208 which signifies that the index had 0.0208% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing 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-seven technical indicators for All Ords which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and All Ords are completely uncorrelated. Although it is extremely important to respect All Ords historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 All Ords technical indicators you can presently evaluate if the expected return of 0.0145% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.11) 
correlation synergy

Insignificant reverse predictability

All Ords has insignificant reverse predictability. Overlapping area represents the amount of predictability between All Ords time series from September 8, 2019 to October 23, 2019 and October 23, 2019 to December 7, 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 -0.11 indicates that less than 11.0% 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-0.11
Spearman Rank Test0.17
Residual Average0.0
Price Variance3435.76

All Ords lagged returns against current returns

 Current and Lagged Values 

All Ords regressed lagged prices vs. current prices

 Current vs Lagged Prices 

All Ords Lagged Returns

 Regressed Prices 

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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 Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.