Hang Seng (Hong Kong) Backtesting

Hang Seng -- Hong Kong Index  

 31,905  217.19  0.68%

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

Hang Seng 'What if' Analysis

December 20, 2017
No Change 0.00  0.0%
In 30 days
January 19, 2018
If you would invest  0.00  in Hang Seng on December 20, 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 0.8673 which attests that Hang Seng had 0.8673% 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 vital to follow to Hang Seng current price history, it is good to be conservative about what you can actually do with the information regarding 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 0.4986% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.94 

Excellent predictability

Hang Seng has excellent predictability. Overlapping area represents the amount of predictability between Hang Seng time series from December 20, 2017 to January 4, 2018 and January 4, 2018 to January 19, 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 0.94 indicates that approximately 94.0% of current Hang Seng price fluctuation can be explain by its past prices.
Correlation Coefficient 0.94
Spearman Rank Test 0.98
Price Variance 116243.55
Lagged Price Variance 270127.35

Hang Seng Lagged Returns

 Regressed Prices 

Hang Seng Performance vs Hang Seng

The median price of Hang Seng for the period between Wed, Dec 20, 2017 and Fri, Jan 19, 2018 is 30736.48 with a coefficient of variation of 3.3. The daily time series for the period is distributed with a sample standard deviation of 1006.7, arithmetic mean of 30463.9, and mean deviation of 860.29. The Index did not receive any noticable media coverage during the period.
Price Growth (%)