NASDAQ Global Backtesting

NASDAQ Global Ins Large Mid Cap -- USA Index  

 1,521  3.59  0.24%

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

NASDAQ Global 'What if' Analysis

October 22, 2017
0.00
No Change 0.00  0.0%
In 31 days
November 21, 2017
0.00
If you would invest  0.00  in NASDAQ Global on October 22, 2017 and sell it all today you would earn a total of 0.00 from holding NASDAQ Global Ins Large Mid Cap or generate 0.0% return on investment in NASDAQ Global over 30 days. NASDAQ Global is entity of United States

NASDAQ Global Upside/Downside Indicators

  

NASDAQ Global Market Premium Indicators

NASDAQ Global Ins lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NASDAQ Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NASDAQ Global Ins Backtested Returns

NASDAQ Global Ins has Sharpe Ratio of 0.3783 which conveys that NASDAQ Global Ins had 0.3783% of return per unit of standard deviation over the last 1 month. Our approach into 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 Global which you can use to evaluate future volatility of the entity. The entity secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and NASDAQ Global are completely uncorrelated. Although it is extremely important to respect NASDAQ Global Ins price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach into 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 inspecting NASDAQ Global Ins technical indicators you can now evaluate if the expected return of 0.1439% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.49 

Average predictability

NASDAQ Global Ins Large Mid Cap has average predictability. Overlapping area represents the amount of predictability between NASDAQ Global time series from October 22, 2017 to November 6, 2017 and November 6, 2017 to November 21, 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 Global Ins price movement. The serial correlation of 0.49 indicates that about 49.0% of current NASDAQ Global price fluctuation can be explain by its past prices.
Correlation Coefficient 0.49
Spearman Rank Test 0.63
Price Variance 65.2
Lagged Price Variance 96.57

NASDAQ Global Lagged Returns

 Regressed Prices 
      Timeline 

NASDAQ Global Performance vs DOW

The median price of NASDAQ Global for the period between Sun, Oct 22, 2017 and Tue, Nov 21, 2017 is 1502.59 with a coefficient of variation of 0.86. The daily time series for the period is distributed with a sample standard deviation of 12.89, arithmetic mean of 1501.07, and mean deviation of 9.04. The Index received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Market Minute Tracking Shares of Alleghany Corporation11/20/2017