Nasdaq Backtesting

Nasdaq -- USA Index  

 6,862  71.77  1.06%

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

Nasdaq 'What if' Analysis

October 23, 2017
No Change 0.00  0.0%
In 31 days
November 22, 2017
If you would invest  0.00  in Nasdaq on October 23, 2017 and sell it all today you would earn a total of 0.00 from holding Nasdaq or generate 0.0% return on investment in Nasdaq over 30 days. Nasdaq is entity of United States. It is traded as Index on Index exchange.

Nasdaq Upside/Downside Indicators


Nasdaq Market Premium Indicators

Nasdaq lagged returns against current returns

 Current and Lagged Values 

Nasdaq regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Nasdaq Backtested Returns

Nasdaq has Sharpe Ratio of 0.2219 which conveys that Nasdaq had 0.2219% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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 technical indicators for Nasdaq which you can use to evaluate future volatility of the organization. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and Nasdaq are completely uncorrelated. Although it is extremely important to respect Nasdaq price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating 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 Nasdaq technical indicators you can presently evaluate if the expected return of 0.1416% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.48 

Average predictability

Nasdaq has average predictability. Overlapping area represents the amount of predictability between Nasdaq time series from October 23, 2017 to November 7, 2017 and November 7, 2017 to November 22, 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 Nasdaq price movement. The serial correlation of 0.48 indicates that about 48.0% of current Nasdaq price fluctuation can be explain by its past prices.
Correlation Coefficient 0.48
Spearman Rank Test 0.67
Price Variance 1966.2
Lagged Price Variance 6313.15

Nasdaq Lagged Returns

 Regressed Prices 

Nasdaq Performance vs DOW

The median price of Nasdaq for the period between Mon, Oct 23, 2017 and Wed, Nov 22, 2017 is 6750.05 with a coefficient of variation of 1.2. The daily time series for the period is distributed with a sample standard deviation of 80.5, arithmetic mean of 6722.95, and mean deviation of 60.25. The Index did not receive any noticable media coverage during the period.
Price Growth (%)