NASDAQ N Backtesting

NASDAQ N America Large Mid Cap -- USA Index  

 1,901  3.33  0.17%

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

NASDAQ N 'What if' Analysis

December 19, 2017
No Change 0.00  0.0%
In 31 days
January 18, 2018
If you would invest  0.00  in NASDAQ N on December 19, 2017 and sell it all today you would earn a total of 0.00 from holding NASDAQ N America Large Mid Cap or generate 0.0% return on investment in NASDAQ N over 30 days. NASDAQ N is entity of United States. It is traded as Index on NIM exchange.

NASDAQ N Upside/Downside Indicators


NASDAQ N Market Premium Indicators

NASDAQ N America lagged returns against current returns

 Current and Lagged Values 

NASDAQ N regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NASDAQ N America Backtested Returns

NASDAQ N America has Sharpe Ratio of 0.0493 which conveys that NASDAQ N America had 0.0493% 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-one technical indicators for NASDAQ N 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 N are completely uncorrelated. Although it is extremely important to respect NASDAQ N America 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 N America technical indicators you can now evaluate if the expected return of 0.0261% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.66) 

Very good reverse predictability

NASDAQ N America Large Mid Cap has very good reverse predictability. Overlapping area represents the amount of predictability between NASDAQ N time series from December 19, 2017 to January 3, 2018 and January 3, 2018 to January 18, 2018. 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 N America price movement. The serial correlation of -0.66 indicates that around 66.0% of current NASDAQ N price fluctuation can be explain by its past prices. Given that NASDAQ N America Large Mid Cap has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NASDAQ N for similar time interval.
Correlation Coefficient -0.66
Spearman Rank Test 0.05
Price Variance 107.48
Lagged Price Variance 108.62

NASDAQ N Lagged Returns

 Regressed Prices 

NASDAQ N Performance vs DOW

The median price of NASDAQ N for the period between Tue, Dec 19, 2017 and Thu, Jan 18, 2018 is 1893.37 with a coefficient of variation of 0.96. The daily time series for the period is distributed with a sample standard deviation of 18.17, arithmetic mean of 1894.59, and mean deviation of 14.21. The Index did not receive any noticable media coverage during the period.
Price Growth (%)