All Ords (Australia) Backtesting

AORD -- Australia Index  

 6,546  12.00  0.18%

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

All Ords 'What if' Analysis

March 25, 2019
0.00
No Change 0.00  0.0%
In 2 months and 1 day
May 24, 2019
0.00
If you would invest  0.00  in All Ords on March 25, 2019 and sell it all today you would earn a total of 0.00 from holding All Ords or generate 0.0% return on investment in All Ords over 60 days.

All Ords Upside/Downside Indicators

Downside Deviation0.6042
Information Ratio0.1581
Maximum Drawdown1.95
Value At Risk(0.81)
Potential Upside1.06

All Ords Market Premium Indicators

Risk Adjusted Performance0.1047
Total Risk Alpha0.0977
Sortino Ratio0.1625

All Ords Backtested Returns

All Ords secures Sharpe Ratio (or Efficiency) of 0.2175 which signifies that the index had 0.2175% of return per unit of risk over the last 2 months. Our philosophy towards foreseeing volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for All Ords which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and All Ords are completely uncorrelated. Although it is extremely important to respect All Ords historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing All Ords technical indicators you can presently evaluate if the expected return of 0.1357% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.42 
correlation synergy

Average predictability

All Ords has average predictability. Overlapping area represents the amount of predictability between All Ords time series from March 25, 2019 to April 24, 2019 and April 24, 2019 to May 24, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of All Ords price movement. The serial correlation of 0.42 indicates that just about 42.0% of current All Ords price fluctuation can be explain by its past prices.
Correlation Coefficient0.42
Spearman Rank Test0.21
Residual Average0.0
Price Variance5446.68

All Ords lagged returns against current returns

 Current and Lagged Values 
      Timeline 

All Ords regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

All Ords Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - AORD

All Ords Investor Sentiment

Most of Macroaxis investors are at this time bullish on All Ords. What is your sentiment towards investing in Australia companies? Are you bullish or bearish on All Ords?
Bullish
Bearish
98% Bullish
2% Bearish
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See also All Ords Hype Analysis, All Ords Correlation, Portfolio Optimization, All Ords Volatility as well as analyze All Ords Alpha and Beta and All Ords Performance. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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