Nasdaq Backtested Returns
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.
|15 days auto-correlation|| 0.48 |
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