NZSE (New Zealand) Backtesting

NZSE -- New Zealand Index  

 8,302  19.70  0.24%

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
 Time Horizon     30 Days    Login   to change

NZSE 'What if' Analysis

January 26, 2018
No Change 0.00  0.0%
In 31 days
February 25, 2018
If you would invest  0.00  in NZSE on January 26, 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 30 days.

NZSE Upside/Downside Indicators


NZSE Market Premium Indicators

NZSE lagged returns against current returns

 Current and Lagged Values 

NZSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NZSE Backtested Returns

NZSE has Sharpe Ratio of -0.0224 which conveys that NZSE had -0.0224% of return per unit of standard deviation 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. NZSE 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 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-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.80) 

Almost perfect reverse predictability

NZSE has almost perfect reverse predictability. Overlapping area represents the amount of predictability between NZSE time series from January 26, 2018 to February 10, 2018 and February 10, 2018 to February 25, 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 -0.8 indicates that around 80.0% 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 -0.8
Spearman Rank Test -0.61
Price Variance 7813.56
Lagged Price Variance 13792.55

NZSE Lagged Returns

 Regressed Prices 

NZSE Performance vs NZSE

The median price of NZSE for the period between Fri, Jan 26, 2018 and Sun, Feb 25, 2018 is 8204.17 with a coefficient of variation of 1.39. The daily time series for the period is distributed with a sample standard deviation of 113.8, arithmetic mean of 8206.03, and mean deviation of 100.69. The Index did not receive any noticable media coverage during the period.
Price Growth (%)