ISEQ (Ireland) Backtesting

ISEQ -- Ireland Index  

 6,238  5.86  0.09%

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

ISEQ 'What if' Analysis

March 23, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
May 22, 2019
0.00
If you would invest  0.00  in ISEQ on March 23, 2019 and sell it all today you would earn a total of 0.00 from holding ISEQ or generate 0.0% return on investment in ISEQ over 60 days.

ISEQ Upside/Downside Indicators

Information Ratio(0.018999)
Maximum Drawdown3.65
Value At Risk(1.46)
Potential Upside1.29

ISEQ Market Premium Indicators

Risk Adjusted Performance(0.0001442)
Total Risk Alpha(0.017837)

ISEQ Backtested Returns

ISEQ holds Efficiency (Sharpe) Ratio of 0.1067 which attests that the entity had 0.1067% of return per unit of return volatility over the last 2 months. Our way of 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-eight technical indicators for ISEQ 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 ISEQ are completely uncorrelated. Although it is extremely important to respect ISEQ current price history, it is better to be realistic regarding the information on equity current price movements. The way of 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 analyzing ISEQ technical indicators you can now evaluate if the expected return of 0.0933% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.62) 
correlation synergy

Very good reverse predictability

ISEQ has very good reverse predictability. Overlapping area represents the amount of predictability between ISEQ time series from March 23, 2019 to April 22, 2019 and April 22, 2019 to May 22, 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 ISEQ price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current ISEQ price fluctuation can be explain by its past prices. Given that ISEQ has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ISEQ for similar time interval.
Correlation Coefficient-0.62
Spearman Rank Test-0.6
Residual Average0.0
Price Variance12308.21

ISEQ lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ISEQ regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ISEQ Lagged Returns

 Regressed Prices 
      Timeline 

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See also ISEQ Hype Analysis, ISEQ Correlation, Portfolio Optimization, ISEQ Volatility as well as analyze ISEQ Alpha and Beta and ISEQ Performance. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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