ISEQ (Ireland) Backtesting

ISEQ -- Ireland Index  

 7,102  69.38  0.99%

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

ISEQ 'What if' Analysis

September 8, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 7, 2019
0.00
If you would invest  0.00  in ISEQ on September 8, 2019 and sell it all today you would earn a total of 0.00 from holding ISEQ or generate 0.0% return on investment in ISEQ over 90 days.

ISEQ Upside/Downside Indicators

Downside Deviation1.44
Information Ratio0.12
Maximum Drawdown6.16
Value At Risk(2.21)
Potential Upside2.62

ISEQ Market Premium Indicators

Risk Adjusted Performance0.1082
Total Risk Alpha0.0861
Sortino Ratio0.1234

ISEQ Backtested Returns

ISEQ holds Efficiency (Sharpe) Ratio of 0.1737 which attests that the entity had 0.1737% of return per unit of return volatility over the last 3 months. Our way of determining volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for ISEQ 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 ISEQ are completely uncorrelated. Although it is vital to follow to ISEQ current price history, it is good to be conservative about what you can actually do with the information regarding equity current price movements. The way of 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 analyzing ISEQ technical indicators you can now evaluate if the expected return of 0.2592% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 
correlation synergy

Good predictability

ISEQ has good predictability. Overlapping area represents the amount of predictability between ISEQ time series from September 8, 2019 to October 23, 2019 and October 23, 2019 to December 7, 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 ISEQ price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current ISEQ price fluctuation can be explain by its past prices.
Correlation Coefficient0.62
Spearman Rank Test0.58
Residual Average0.0
Price Variance28905.73

ISEQ lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ISEQ regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ISEQ Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - ISEQ

ISEQ Investor Sentiment

Most of Macroaxis investors are at this time bullish on ISEQ. What is your judgment towards investing in Ireland companies? Are you bullish or bearish on ISEQ?
Bullish
Bearish
98% Bullish
2% Bearish
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See also ISEQ Hype Analysis, ISEQ Correlation, Portfolio Optimization, ISEQ Volatility as well as analyze ISEQ Alpha and Beta and ISEQ Performance. Please also try Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.
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