NYSE ARCA (Exotistan) Backtesting

DRG -- Exotistan Index  

 591.67  6.76  1.16%

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

NYSE ARCA 'What if' Analysis

June 22, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 20, 2019
0.00
If you would invest  0.00  in NYSE ARCA on June 22, 2019 and sell it all today you would earn a total of 0.00 from holding NYSE ARCA PHARMACEUTICAL INDEX or generate 0.0% return on investment in NYSE ARCA over 90 days.

NYSE ARCA Upside/Downside Indicators

Information Ratio(0.13)
Maximum Drawdown4.07
Value At Risk(1.77)
Potential Upside1.04

NYSE ARCA Market Premium Indicators

Risk Adjusted Performance(0.08)
Total Risk Alpha(0.11)

NYSE ARCA PHARMACEUT Backtested Returns

NYSE ARCA PHARMACEUT has Sharpe Ratio of -0.0364 which conveys that the entity had -0.0364% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy towards estimating 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. NYSE ARCA exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and NYSE ARCA are completely uncorrelated. Even though it is essential to pay attention to NYSE ARCA PHARMACEUT price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating 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. NYSE ARCA exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.29) 
correlation synergy

Weak reverse predictability

NYSE ARCA PHARMACEUTICAL INDEX has weak reverse predictability. Overlapping area represents the amount of predictability between NYSE ARCA time series from June 22, 2019 to August 6, 2019 and August 6, 2019 to September 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 NYSE ARCA PHARMACEUT price movement. The serial correlation of -0.29 indicates that nearly 29.0% of current NYSE ARCA price fluctuation can be explain by its past prices. Given that NYSE ARCA PHARMACEUTICAL INDEX has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NYSE ARCA for similar time interval.
Correlation Coefficient-0.29
Spearman Rank Test-0.04
Residual Average0.0
Price Variance20.51

NYSE ARCA PHARMACEUT lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NYSE ARCA regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NYSE ARCA Lagged Returns

 Regressed Prices 
      Timeline 

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See also NYSE ARCA Hype Analysis, NYSE ARCA Correlation, Portfolio Optimization, NYSE ARCA Volatility as well as analyze NYSE ARCA Alpha and Beta and NYSE ARCA Performance. Please also try Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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