If you would invest 302,963 in Nasdaq on April 24, 2012 and sell it today you would lose (17,951) from holding Nasdaq or give up 5.93% of portfolio value over 30 days. Nasdaq is currently producing negative expected returns and takes up 1.13% volatility of returns over 30 trading days. Put another way, 18% of traded equities are less volatile than the company and 99% of traded equity instruments are likely to generate higher returns over the next 30 trading days.
Daily Expected Return (%)
Risk [Daily Volatility] (%)
Assuming 30 trading days horizon, Nasdaq is expected to generate 1.4 times more return on investment than the market. However, the company is 1.4 times more volatile than its market benchmark. It trades about -0.15 of its potential returns per unit of risk. The NYSE is currently generating roughly -0.32 per unit of risk.
Over the last 30 days Nasdaq has generated negative risk-adjusted returns adding no value to investors with long positions.
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IXIC
Estimated Market Risk
1.13
actual daily
82 %
of total potential
Expected Return
-0.17
actual daily
1 %
of total potential
Risk-Adjusted Return
-0.15
actual daily
1 %
of total potential
Based on monthly moving average Nasdaq is performing at about 0% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Nasdaq by adding it to a well-diversified portfolio.
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