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NZSE (New Zealand) Backtesting

NZS
NZ50 -- New Zealand Index  

 9,871  73.81  0.75%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NZSE and determine expected loss or profit from investing in NZSE over given investment horizon. Check out NZSE Hype Analysis, NZSE Correlation, Portfolio Optimization, NZSE Volatility as well as analyze NZSE Alpha and Beta and NZSE Performance.
Symbol
Backtest

NZSE 'What if' Analysis

0.00
01/03/2020
No Change 0.00  0.0 
In 2 months and 31 days
04/02/2020
0.00
If you would invest  0.00  in NZSE on January 3, 2020 and sell it all today you would earn a total of 0.00 from holding NZSE or generate 0.0% return on investment in NZSE over 90 days. NZSE is related to or competes with Fisher Paykel, Meridian Energy, Spark New, Ryman Healthcare, Fletcher Building, Genesis Energy, and Infratil Limited. NZSE is entity of New Zealand. It is traded as Index on Index exchange.

NZSE Upside/Downside Indicators

Information Ratio0.0608
Maximum Drawdown9.83
Value At Risk(3.60)
Potential Upside1.95

NZSE Market Premium Indicators

Risk Adjusted Performance(0.46)
Total Risk Alpha(0.05)

NZSE Backtested Returns

NZSE has Sharpe Ratio of -0.115, which conveys that the entity had -0.115% of return per unit of standard deviation over the last 3 months. 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. NZSE exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. The index secures a Beta (Market Risk) of 0.0, which conveys that the returns on MARKET and NZSE are completely uncorrelated. Even though it is essential to pay attention to NZSE 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. NZSE exposes twenty-eight different technical indicators, which can help you to evaluate its performance.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.26) 
correlation synergy

Weak reverse predictability

NZSE has weak reverse predictability. Overlapping area represents the amount of predictability between NZSE time series from January 3, 2020 to February 17, 2020 and February 17, 2020 to April 2, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of NZSE price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current NZSE price fluctuation can be explain by its past prices. Given that NZSE has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NZSE for similar time interval.
Correlation Coefficient-0.26
Spearman Rank Test-0.52
Residual Average0.0
Price Variance1231352.5

NZSE lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

NZSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

NZSE Lagged Returns

 Regressed Prices 
    
  Timeline 

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Check out NZSE Hype Analysis, NZSE Correlation, Portfolio Optimization, NZSE Volatility as well as analyze NZSE Alpha and Beta and NZSE Performance. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page