Hang Seng (Hong Kong) Backtesting

HSI -- Hong Kong Index  

 26,327  2.97  0.0113%

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

Hang Seng 'What if' Analysis

August 17, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 15, 2019
If you would invest  0.00  in Hang Seng on August 17, 2019 and sell it all today you would earn a total of 0.00 from holding Hang Seng or generate 0.0% return on investment in Hang Seng over 90 days.

Hang Seng Upside/Downside Indicators

Downside Deviation1.08
Information Ratio(0.10)
Maximum Drawdown6.52
Value At Risk(1.82)
Potential Upside1.78

Hang Seng Market Premium Indicators

Risk Adjusted Performance0.0223
Total Risk Alpha(0.16)
Sortino Ratio(0.1)

Hang Seng Backtested Returns

Hang Seng holds Efficiency (Sharpe) Ratio of 0.0106 which attests that the entity had 0.0106% of return per unit of risk over the last 3 months. Our philosophy towards determining 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-seven technical indicators for Hang Seng which you can use to evaluate future volatility of the entity. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Hang Seng are completely uncorrelated. Although it is extremely important to respect Hang Seng current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Hang Seng technical indicators you can presently evaluate if the expected return of 0.0107% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.19 
correlation synergy

Very weak predictability

Hang Seng has very weak predictability. Overlapping area represents the amount of predictability between Hang Seng time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 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 Hang Seng price movement. The serial correlation of 0.19 indicates that over 19.0% of current Hang Seng price fluctuation can be explain by its past prices.
Correlation Coefficient0.19
Spearman Rank Test-0.13
Residual Average0.0
Price Variance367870.67

Hang Seng lagged returns against current returns

 Current and Lagged Values 

Hang Seng regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Hang Seng Lagged Returns

 Regressed Prices 

Current Sentiment - HSI

Hang Seng Investor Sentiment

Most of Macroaxis investors are at this time bullish on Hang Seng. What is your judgment towards investing in Hong Kong companies? Are you bullish or bearish on Hang Seng?
98% Bullish
2% Bearish

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See also Hang Seng Hype Analysis, Hang Seng Correlation, Portfolio Optimization, Hang Seng Volatility as well as analyze Hang Seng Alpha and Beta and Hang Seng Performance. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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