NASDAQ UK (UK) Backtesting

NQGB -- UK Index  

 1,018  6.11  0.60%

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

NASDAQ UK '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 NASDAQ UK on August 17, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ UK or generate 0.0% return on investment in NASDAQ UK over 90 days.

NASDAQ UK Upside/Downside Indicators

Downside Deviation1.01
Information Ratio(0.16)
Maximum Drawdown4.47
Value At Risk(0.92)
Potential Upside0.8521

NASDAQ UK Market Premium Indicators

Risk Adjusted Performance0.0234
Total Risk Alpha(0.10)
Sortino Ratio(0.11)

NASDAQ UK Backtested Returns

NASDAQ UK has Sharpe Ratio of 0.0644 which conveys that the index had 0.0644% 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 UK 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 UK are completely uncorrelated. Although it is extremely important to respect NASDAQ UK 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 UK technical indicators you can now evaluate if the expected return of 0.0858% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.06) 
correlation synergy

Very weak reverse predictability

NASDAQ UK has very weak reverse predictability. Overlapping area represents the amount of predictability between NASDAQ UK 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 NASDAQ UK price movement. The serial correlation of -0.06 indicates that barely 6.0% of current NASDAQ UK price fluctuation can be explain by its past prices. Given that NASDAQ UK has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NASDAQ UK for similar time interval.
Correlation Coefficient-0.06
Spearman Rank Test0.0
Residual Average0.0
Price Variance773.23

NASDAQ UK lagged returns against current returns

 Current and Lagged Values 

NASDAQ UK regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NASDAQ UK Lagged Returns

 Regressed Prices 

Current Sentiment - NQGB

NASDAQ UK Investor Sentiment

Most of Macroaxis investors are at this time bullish on NASDAQ UK. What is your trading attitude regarding investing in UK companies? Are you bullish or bearish on NASDAQ UK?
98% Bullish
2% Bearish

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See also NASDAQ UK Hype Analysis, NASDAQ UK Correlation, Portfolio Optimization, NASDAQ UK Volatility as well as analyze NASDAQ UK Alpha and Beta and NASDAQ UK Performance. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.