Nasdaq US Backtesting

Nasdaq US 600 Mid Cap Value Net -- USA Index  

 1,450  7.65  0.52%

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
Investment Horizon     30 Days    Login   to change

Nasdaq US 'What if' Analysis

October 20, 2017
No Change 0.00  0.0%
In 31 days
November 19, 2017
If you would invest  0.00  in Nasdaq US on October 20, 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 -0.0187 which conveys that Nasdaq US 600 had -0.0187% of return per unit of risk over the last 1 month. Macroaxis philosophy 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. Nasdaq US exposes twenty-one 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 Nasdaq US are completely uncorrelated. Even though it is essential to pay attention to Nasdaq US 600 price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy 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. Nasdaq US exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.05) 

Very weak reverse predictability

Nasdaq US 600 Mid Cap Value Net has very weak reverse predictability. Overlapping area represents the amount of predictability between Nasdaq US time series from October 20, 2017 to November 4, 2017 and November 4, 2017 to November 19, 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 US 600 price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current Nasdaq US price fluctuation can be explain by its past prices. Given that Nasdaq US 600 Mid Cap Value Net has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Nasdaq US for similar time interval.
Correlation Coefficient -0.05
Spearman Rank Test 0.02
Price Variance 45.35
Lagged Price Variance 16.94

Nasdaq US Lagged Returns

 Regressed Prices 

Nasdaq US Performance vs DOW

The median price of Nasdaq US for the period between Fri, Oct 20, 2017 and Sun, Nov 19, 2017 is 1449.9 with a coefficient of variation of 0.43. The daily time series for the period is distributed with a sample standard deviation of 6.23, arithmetic mean of 1449.35, and mean deviation of 5.03. The Index did not receive any noticable media coverage during the period.
Price Growth (%)