Hang Seng (Hong Kong) Backtesting

Hang Seng -- Hong Kong Index  

 29,199  180.28  0.62%

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
Investment Horizon     30 Days    Login   to change

Hang Seng 'What if' Analysis

October 19, 2017
No Change 0.00  0.0%
In 31 days
November 18, 2017
If you would invest  0.00  in Hang Seng on October 19, 2017 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 30 days. Hang Seng is entity of Hong Kong. It is traded as Index on Index exchange.

Hang Seng Upside/Downside Indicators


Hang Seng Market Premium Indicators

Hang Seng lagged returns against current returns

 Current and Lagged Values 

Hang Seng regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Hang Seng Backtested Returns

Hang Seng holds Efficiency (Sharpe) Ratio of 0.2559 which attests that Hang Seng had 0.2559% of return per unit of risk over the last 1 month. Our philosophy towards determining 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 Hang Seng which you can use to evaluate future volatility of the entity. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Hang Seng are completely uncorrelated. Although it is extremely important to respect Hang Seng current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Hang Seng technical indicators you can presently evaluate if the expected return of 0.167% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.34 

Below average predictability

Hang Seng has below average predictability. Overlapping area represents the amount of predictability between Hang Seng time series from October 19, 2017 to November 3, 2017 and November 3, 2017 to November 18, 2017. 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 0.34 indicates that nearly 34.0% of current Hang Seng price fluctuation can be explain by its past prices.
Correlation Coefficient 0.34
Spearman Rank Test 0.47
Price Variance 43277.8
Lagged Price Variance 24061.41

Hang Seng Lagged Returns

 Regressed Prices 

Hang Seng Performance vs Hang Seng

The median price of Hang Seng for the period between Thu, Oct 19, 2017 and Sat, Nov 18, 2017 is 28596.8 with a coefficient of variation of 1.31. The daily time series for the period is distributed with a sample standard deviation of 374.08, arithmetic mean of 28659.52, and mean deviation of 329.78. The Index did not receive any noticable media coverage during the period.
Price Growth (%)