Horizon Kinetics (Exotistan) Backtesting

Horizon Kinetics ISE Global Wea -- Exotistan Index  

 198.44  0.90  0.45%

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

Horizon Kinetics 'What if' Analysis

January 22, 2018
No Change 0.00  0.0%
In 31 days
February 21, 2018
If you would invest  0.00  in Horizon Kinetics on January 22, 2018 and sell it all today you would earn a total of 0.00 from holding Horizon Kinetics ISE Global Wea or generate 0.0% return on investment in Horizon Kinetics over 30 days.

Horizon Kinetics Upside/Downside Indicators


Horizon Kinetics Market Premium Indicators

Horizon Kinetics ISE lagged returns against current returns

 Current and Lagged Values 

Horizon Kinetics regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Horizon Kinetics ISE Backtested Returns

Horizon Kinetics ISE holds Efficiency (Sharpe) Ratio of -0.2226 which attests that Horizon Kinetics ISE had -0.2226% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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. Horizon Kinetics ISE exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Horizon Kinetics are completely uncorrelated. Even though it is essential to pay attention to Horizon Kinetics ISE current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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. Horizon Kinetics ISE exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.72) 

Almost perfect reverse predictability

Horizon Kinetics ISE Global Wea has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Horizon Kinetics time series from January 22, 2018 to February 6, 2018 and February 6, 2018 to February 21, 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 Horizon Kinetics ISE price movement. The serial correlation of -0.72 indicates that around 72.0% of current Horizon Kinetics price fluctuation can be explain by its past prices. Given that Horizon Kinetics ISE Global Wea has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Horizon Kinetics for similar time interval.
Correlation Coefficient -0.72
Spearman Rank Test -0.37
Price Variance 5.35
Lagged Price Variance 4.01

Horizon Kinetics Lagged Returns

 Regressed Prices 

Horizon Kinetics Performance vs DOW

The median price of Horizon Kinetics for the period between Mon, Jan 22, 2018 and Wed, Feb 21, 2018 is 204.92 with a coefficient of variation of 3.07. The daily time series for the period is distributed with a sample standard deviation of 6.23, arithmetic mean of 202.65, and mean deviation of 5.63. The Index received some media coverage during the period.
Price Growth (%)  
Payment of 22243 shares by Kevin Plank of Under Armour subje...02/20/2018