NZSE (New Zealand) Backtesting

NZ50 -- New Zealand Index  

 8,723  15.85  0.18%

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. See also NZSE Hype Analysis, NZSE Correlation, Portfolio Optimization, NZSE Volatility as well as analyze NZSE Alpha and Beta and NZSE Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

NZSE 'What if' Analysis

October 15, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 14, 2018
0.00
If you would invest  0.00  in NZSE on October 15, 2018 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 60 days.

NZSE Upside/Downside Indicators

Information Ratio(0.11)
Maximum Drawdown3.85
Value At Risk(1.10)
Potential Upside1.2
  

NZSE Market Premium Indicators

Risk Adjusted Performance(0.19)
Total Risk Alpha(0.12)

NZSE Backtested Returns

NZSE has Sharpe Ratio of -0.0484 which conveys that NZSE had -0.0484% of return per unit of standard deviation over the last 2 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 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.15 
correlation synergy

Insignificant predictability

NZSE has insignificant predictability. Overlapping area represents the amount of predictability between NZSE time series from October 15, 2018 to November 14, 2018 and November 14, 2018 to December 14, 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 NZSE price movement. The serial correlation of 0.15 indicates that less than 15.0% of current NZSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.15
Spearman Rank Test0.58
Residual Average0.0
Price Variance3132.88

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 

Current Sentiment - NZ50

NZSE Investor Sentiment

Most of Macroaxis investors are at this time bullish on NZSE. What is your trading attitude regarding investing in New Zealand companies? Are you bullish or bearish on NZSE?
Bullish
Bearish
98% Bullish
2% Bearish
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See also NZSE Hype Analysis, NZSE Correlation, Portfolio Optimization, NZSE Volatility as well as analyze NZSE Alpha and Beta and NZSE Performance. Please also try Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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