NASDAQ Composite Backtesting

COMP -- USA Index  

 8,183  52.51  0.65%

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

NASDAQ Composite 'What if' Analysis

June 21, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 19, 2019
0.00
If you would invest  0.00  in NASDAQ Composite on June 21, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ Composite or generate 0.0% return on investment in NASDAQ Composite over 90 days.

NASDAQ Composite Upside/Downside Indicators

Information Ratio0.1928
Maximum Drawdown1.49
Value At Risk(0.43)
Potential Upside1.06

NASDAQ Composite Market Premium Indicators

Risk Adjusted Performance0.2399
Total Risk Alpha0.1034

NASDAQ Composite Backtested Returns

NASDAQ Composite has Sharpe Ratio of 0.2782 which conveys that the index had 0.2782% of return per unit of standard deviation over the last 3 months. Our approach into estimating 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-one technical indicators for NASDAQ Composite which you can use to evaluate future volatility of the entity. The entity secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and NASDAQ Composite are completely uncorrelated. Although it is extremely important to respect NASDAQ Composite price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach into estimating 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 inspecting NASDAQ Composite technical indicators you can now evaluate if the expected return of 0.1314% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.00 
correlation synergy

No correlation between past and present

NASDAQ Composite has no correlation between past and present. Overlapping area represents the amount of predictability between NASDAQ Composite time series from June 21, 2019 to August 5, 2019 and August 5, 2019 to September 19, 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 NASDAQ Composite price movement. The serial correlation of 0.0 indicates that just 0.0% of current NASDAQ Composite price fluctuation can be explain by its past prices.
Correlation Coefficient0.0
Spearman Rank Test0.0
Residual Average0.0
Price Variance0.0

NASDAQ Composite lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NASDAQ Composite regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NASDAQ Composite Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - COMP

NASDAQ Composite Investor Sentiment

Most of Macroaxis investors are at this time bullish on NASDAQ Composite. What is your trading attitude regarding investing in USA companies? Are you bullish or bearish on NASDAQ Composite?
Bullish
Bearish
98% Bullish
2% Bearish
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See also NASDAQ Composite Hype Analysis, NASDAQ Composite Correlation, Portfolio Optimization, NASDAQ Composite Volatility as well as analyze NASDAQ Composite Alpha and Beta and NASDAQ Composite Performance. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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