NASDAQ Global Backtesting

NASDAQ Global Buyback Achievers -- USA Index  

 1,584  1.85  0.12%

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

NASDAQ Global 'What if' Analysis

December 21, 2017
No Change 0.00  0.0%
In 31 days
January 20, 2018
If you would invest  0.00  in NASDAQ Global on December 21, 2017 and sell it all today you would earn a total of 0.00 from holding NASDAQ Global Buyback Achievers or generate 0.0% return on investment in NASDAQ Global over 30 days. NASDAQ Global is entity of United States

NASDAQ Global Upside/Downside Indicators


NASDAQ Global Market Premium Indicators

NASDAQ Global Buyback lagged returns against current returns

 Current and Lagged Values 

NASDAQ Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NASDAQ Global Buyback Backtested Returns

NASDAQ Global Buyback has Sharpe Ratio of 0.6756 which conveys that NASDAQ Global Buyback had 0.6756% of return per unit of standard deviation over the last 1 month. Our approach into estimating volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for NASDAQ Global which you can use to evaluate future volatility of the entity. The entity secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and NASDAQ Global are completely uncorrelated. Although it is extremely important to respect NASDAQ Global Buyback price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach into 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 inspecting NASDAQ Global Buyback technical indicators you can now evaluate if the expected return of 0.2497% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.66 

Good predictability

NASDAQ Global Buyback Achievers has good predictability. Overlapping area represents the amount of predictability between NASDAQ Global time series from December 21, 2017 to January 5, 2018 and January 5, 2018 to January 20, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of NASDAQ Global Buyback price movement. The serial correlation of 0.66 indicates that around 66.0% of current NASDAQ Global price fluctuation can be explain by its past prices.
Correlation Coefficient 0.66
Spearman Rank Test 0.79
Price Variance 251.99
Lagged Price Variance 81.46

NASDAQ Global Lagged Returns

 Regressed Prices 

NASDAQ Global Performance vs DOW

The median price of NASDAQ Global for the period between Thu, Dec 21, 2017 and Sat, Jan 20, 2018 is 1540.76 with a coefficient of variation of 2.13. The daily time series for the period is distributed with a sample standard deviation of 32.74, arithmetic mean of 1539.11, and mean deviation of 29.27. The Index received some media coverage during the period.
Price Growth (%)  
Xerox Corp Shares Moving -1.07 percent On Volume01/18/2018