NYSE Backtesting

NYA -- USA Index  

 12,790  3.43  0.0268%

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

NYSE 'What if' Analysis

June 22, 2018
No Change 0.00  0.0%
In 31 days
July 22, 2018
If you would invest  0.00  in NYSE on June 22, 2018 and sell it all today you would earn a total of 0.00 from holding NYSE or generate 0.0% return on investment in NYSE over 30 days.

NYSE Upside/Downside Indicators

Information Ratio0.032327
Maximum Drawdown1.92
Value At Risk0.29
Potential Upside0.7244

NYSE Market Premium Indicators

Risk Adjusted Performance0.1273
Total Risk Alpha0.0036

NYSE Backtested Returns

NYSE has Sharpe Ratio of 0.0983 which conveys that NYSE had 0.0983% of return per unit of standard deviation 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-one technical indicators for NYSE 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 NYSE are completely uncorrelated. Although it is extremely important to respect NYSE 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 reviewing NYSE technical indicators you can currently evaluate if the expected return of 0.0505% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.35 

Below average predictability

NYSE has below average predictability. Overlapping area represents the amount of predictability between NYSE time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 22, 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 NYSE price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current NYSE price fluctuation can be explain by its past prices.
Correlation Coefficient 0.35
Spearman Rank Test 0.13
Price Variance 1232.92
Lagged Price Variance 10360.04

NYSE lagged returns against current returns

 Current and Lagged Values 

NYSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NYSE Lagged Returns

 Regressed Prices 

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See also NYSE Hype Analysis, NYSE Correlation, Portfolio Optimization, NYSE Volatility as well as analyze NYSE Alpha and Beta and NYSE Performance. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.