Nasdaq US Backtesting

Nasdaq US 600 Mid Cap Value Net -- USA Index  

 1,593  7.63  0.48%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Nasdaq US 600 Mid Cap Value Net and determine expected loss or profit from investing in Nasdaq US over given investment horizon. See also Nasdaq US Hype Analysis, Nasdaq US Correlation, Portfolio Optimization, Nasdaq US Volatility as well as analyze Nasdaq US Alpha and Beta and Nasdaq US Performance
 Time Horizon     30 Days    Login   to change

Nasdaq US 'What if' Analysis

December 24, 2017
No Change 0.00  0.0%
In 31 days
January 23, 2018
If you would invest  0.00  in Nasdaq US on December 24, 2017 and sell it all today you would earn a total of 0.00 from holding Nasdaq US 600 Mid Cap Value Net or generate 0.0% return on investment in Nasdaq US over 30 days. Nasdaq US is entity of United States. It is traded as Index on NIM exchange.

Nasdaq US Upside/Downside Indicators


Nasdaq US Market Premium Indicators

Nasdaq US 600 lagged returns against current returns

 Current and Lagged Values 

Nasdaq US regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Nasdaq US 600 Backtested Returns

Nasdaq US 600 has Sharpe Ratio of 0.4153 which conveys that Nasdaq US 600 had 0.4153% 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 US 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 US are completely uncorrelated. Although it is extremely important to respect Nasdaq US 600 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 US 600 technical indicators you can presently evaluate if the expected return of 0.2439% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.69 

Good predictability

Nasdaq US 600 Mid Cap Value Net has good predictability. Overlapping area represents the amount of predictability between Nasdaq US time series from December 24, 2017 to January 8, 2018 and January 8, 2018 to January 23, 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 US 600 price movement. The serial correlation of 0.69 indicates that around 69.0% of current Nasdaq US price fluctuation can be explain by its past prices.
Correlation Coefficient 0.69
Spearman Rank Test 0.71
Price Variance 107.48
Lagged Price Variance 110.66

Nasdaq US Lagged Returns

 Regressed Prices 

Nasdaq US Performance vs DOW

The median price of Nasdaq US for the period between Sun, Dec 24, 2017 and Tue, Jan 23, 2018 is 1548.63 with a coefficient of variation of 1.8. The daily time series for the period is distributed with a sample standard deviation of 27.8, arithmetic mean of 1545.81, and mean deviation of 22.78. The Index received some media coverage during the period.
Price Growth (%)  
DST Systems exotic insider transaction detected01/22/2018