Hang Seng (Hong Kong) Backtesting

HSI -- Hong Kong Index  

 27,354  30.84  0.11%

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
SymbolX
Backtest

Hang Seng '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 Hang Seng on March 25, 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 60 days.

Hang Seng Upside/Downside Indicators

Information Ratio(0.13)
Maximum Drawdown5.81
Value At Risk(1.88)
Potential Upside1.22

Hang Seng Market Premium Indicators

Risk Adjusted Performance(0.08)
Total Risk Alpha(0.13)

Hang Seng Backtested Returns

Hang Seng holds Efficiency (Sharpe) Ratio of -0.1089 which attests that the entity had -0.1089% of return per unit of risk over the last 2 months. Macroaxis philosophy towards determining risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Hang Seng exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Hang Seng are completely uncorrelated. Even though it is essential to pay attention to Hang Seng current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Hang Seng exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.50) 
correlation synergy

Modest reverse predictability

Hang Seng has modest reverse predictability. Overlapping area represents the amount of predictability between Hang Seng 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 Hang Seng price movement. The serial correlation of -0.5 indicates that about 50.0% of current Hang Seng price fluctuation can be explain by its past prices. Given that Hang Seng has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Hang Seng for similar time interval.
Correlation Coefficient-0.5
Spearman Rank Test-0.5
Residual Average0.0
Price Variance643040.11

Hang Seng lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Hang Seng regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Hang Seng Lagged Returns

 Regressed Prices 
      Timeline 

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?
Bullish
Bearish
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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