Nasdaq Backtesting

IXIC -- USA Index  

 8,052  65.21  0.80%

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.
Horizon     30 Days    Login   to change

Nasdaq 'What if' Analysis

June 24, 2019
No Change 0.00  0.0%
In 3 months and 1 day
September 22, 2019
If you would invest  0.00  in Nasdaq on June 24, 2019 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 90 days.

Nasdaq Upside/Downside Indicators

Downside Deviation1.18
Information Ratio0.0019
Maximum Drawdown5.27
Value At Risk(1.51)
Potential Upside1.67

Nasdaq Market Premium Indicators

Risk Adjusted Performance0.0268
Total Risk Alpha(0.002045)
Sortino Ratio0.0017

Nasdaq Backtested Returns

Nasdaq has Sharpe Ratio of 0.0136 which conveys that the entity had 0.0136% of return per unit of risk over the last 3 months. Our philosophy towards estimating 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-six 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 0.015% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.03) 
correlation synergy

Very weak reverse predictability

Nasdaq has very weak reverse predictability. Overlapping area represents the amount of predictability between Nasdaq time series from June 24, 2019 to August 8, 2019 and August 8, 2019 to September 22, 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 Nasdaq price movement. The serial correlation of -0.03 indicates that only 3.0% of current Nasdaq price fluctuation can be explain by its past prices. Given that Nasdaq has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Nasdaq for similar time interval.
Correlation Coefficient-0.03
Spearman Rank Test0.02
Residual Average0.0
Price Variance17318.24

Nasdaq lagged returns against current returns

 Current and Lagged Values 

Nasdaq regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Nasdaq Lagged Returns

 Regressed Prices 

Current Sentiment - IXIC

Nasdaq Investor Sentiment

Most of Macroaxis investors are at this time bullish on Nasdaq. What is your trading attitude regarding investing in USA companies? Are you bullish or bearish on Nasdaq?
98% Bullish
2% Bearish

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See also Nasdaq Hype Analysis, Nasdaq Correlation, Portfolio Optimization, Nasdaq Volatility as well as analyze Nasdaq Alpha and Beta and Nasdaq Performance. Please also try Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.