NQPH (Philippine) Backtesting

NQPH -- Philippine Index  

 994.94  9.42  0.96%

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

NQPH 'What if' Analysis

May 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 18, 2018
0.00
If you would invest  0.00  in NQPH on May 19, 2018 and sell it all today you would earn a total of 0.00 from holding NQPH or generate 0.0% return on investment in NQPH over 30 days.

NQPH Upside/Downside Indicators

Information Ratio0.2132
Maximum Drawdown1.6
  

NQPH Market Premium Indicators

Risk Adjusted Performance0.01

NQPH Backtested Returns

NQPH has Sharpe Ratio of -0.1371 which conveys that NQPH had -0.1371% of return per unit of volatility over the last 1 month. Macroaxis approach towards estimating risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. NQPH exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and NQPH are completely uncorrelated. Even though it is essential to pay attention to NQPH price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis approach towards estimating future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. NQPH exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.29 

Poor predictability

NQPH has poor predictability. Overlapping area represents the amount of predictability between NQPH time series from May 19, 2018 to June 3, 2018 and June 3, 2018 to June 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 NQPH price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current NQPH price fluctuation can be explain by its past prices.
Correlation Coefficient 0.29
Spearman Rank Test 0.21
Price Variance 498.26
Lagged Price Variance 60.22

NQPH lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NQPH regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NQPH Lagged Returns

 Regressed Prices 
      Timeline 

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Portfolio Volatility

Check portfolio volatility and analyze historical return density to properly model market risk
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See also NQPH Hype Analysis, NQPH Correlation, Portfolio Optimization, NQPH Volatility as well as analyze NQPH Alpha and Beta and NQPH Performance. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.