NASDAQ Composite Backtesting

COMP -- USA Index  

 8,622  34.70  0.40%

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

September 11, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 10, 2019
0.00
If you would invest  0.00  in NASDAQ Composite on September 11, 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

Downside Deviation1.22
Information Ratio0.0822
Maximum Drawdown4.56
Value At Risk(1.44)
Potential Upside1.35

NASDAQ Composite Market Premium Indicators

Risk Adjusted Performance0.0967
Total Risk Alpha0.0482
Sortino Ratio0.0591

NASDAQ Composite Backtested Returns

NASDAQ Composite has Sharpe Ratio of 0.0646 which conveys that the index had 0.0646% 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-eight 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 0.0682% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.15) 
correlation synergy

Insignificant reverse predictability

NASDAQ Composite has insignificant reverse predictability. Overlapping area represents the amount of predictability between NASDAQ Composite time series from September 11, 2019 to October 26, 2019 and October 26, 2019 to December 10, 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 -0.15 indicates that less than 15.0% of current NASDAQ Composite price fluctuation can be explain by its past prices. Given that NASDAQ Composite has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NASDAQ Composite for similar time interval.
Correlation Coefficient-0.15
Spearman Rank Test-0.03
Residual Average0.0
Price Variance13719.57

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 

Did you try this?

Run Portfolio Anywhere Now

   

Portfolio Anywhere

Track or share privately all of your investments from the convenience of any device
All  Next Launch Module

Also Currentnly Active

Purchased over 300 shares of
few hours ago
Traded for 9.01
Purchased over 300 shares of
few hours ago
Traded for 9.01
Purchased over 50 shares of
few hours ago
Traded for 60.0
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
Search macroaxis.com