Hang Seng (Hong Kong) Backtesting

Hang Seng -- Hong Kong Index  

 30,636  628.56  2.09%

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

Hang Seng 'What if' Analysis

February 26, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
April 27, 2018
0.00
If you would invest  0.00  in Hang Seng on February 26, 2018 and sell it all today you would earn a total of 0.00 from holding Hang Seng or generate 0.0% return on investment in Hang Seng over 60 days.

Hang Seng Upside/Downside Indicators

Information Ratio0.031644
Maximum Drawdown7.42
Value At Risk2.45
Potential Upside1.65
  

Hang Seng Market Premium Indicators

Risk Adjusted Performance0.067534
Total Risk Alpha0.045867

Hang Seng Backtested Returns

Hang Seng holds Efficiency (Sharpe) Ratio of -0.0691 which attests that Hang Seng had -0.0691% of return per unit of risk over the last 2 months. Macroaxis philosophy towards determining 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. Hang Seng exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Hang Seng are completely uncorrelated. Even though it is essential to pay attention to Hang Seng current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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. Hang Seng exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.49 

Average predictability

Hang Seng has average predictability. Overlapping area represents the amount of predictability between Hang Seng time series from February 26, 2018 to March 28, 2018 and March 28, 2018 to April 27, 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 Hang Seng price movement. The serial correlation of 0.49 indicates that about 49.0% of current Hang Seng price fluctuation can be explain by its past prices.
Correlation Coefficient 0.49
Spearman Rank Test -0.1
Price Variance 121449.6
Lagged Price Variance 340767.16

Hang Seng lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Hang Seng regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Hang Seng Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - HSI

Hang Seng Investor Sentiment
Most of Macroaxis investors are at this time bullish on Hang Seng. What is your judgment towards investing in Hong Kong companies? Are you bullish or bearish on Hang Seng?
Bullish
Bearish
98% Bullish
2% Bearish
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See also Hang Seng Hype Analysis, Hang Seng Correlation, Portfolio Optimization, Hang Seng Volatility as well as analyze Hang Seng Alpha and Beta and Hang Seng Performance. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.