Nasdaq Global Backtesting

NQGMOI -- USA Index  

 1,782  3.15  0.18%

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

Nasdaq Global 'What if' Analysis

August 21, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 19, 2019
If you would invest  0.00  in Nasdaq Global on August 21, 2019 and sell it all today you would earn a total of 0.00 from holding Nasdaq Global Millennial Opport or generate 0.0% return on investment in Nasdaq Global over 90 days.

Nasdaq Global Upside/Downside Indicators

Downside Deviation1.35
Information Ratio(0.05)
Maximum Drawdown4.91
Value At Risk(2.32)
Potential Upside1.69

Nasdaq Global Market Premium Indicators

Risk Adjusted Performance0.0509
Total Risk Alpha(0.11)
Sortino Ratio(0.039683)

Nasdaq Global Millen Backtested Returns

Nasdaq Global Millen has Sharpe Ratio of 0.0817 which conveys that the entity had 0.0817% of return per unit of risk over the last 3 months. Our philosophy towards 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 Global which you can use to evaluate future volatility of the organization. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and Nasdaq Global are completely uncorrelated. Although it is extremely important to respect Nasdaq Global Millen price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards 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 analyzing Nasdaq Global Millen technical indicators you can presently evaluate if the expected return of 0.0748% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.62) 
correlation synergy

Very good reverse predictability

Nasdaq Global Millennial Opport has very good reverse predictability. Overlapping area represents the amount of predictability between Nasdaq Global time series from August 21, 2019 to October 5, 2019 and October 5, 2019 to November 19, 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 Global Millen price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current Nasdaq Global price fluctuation can be explain by its past prices. Given that Nasdaq Global Millennial Opport has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Nasdaq Global for similar time interval.
Correlation Coefficient-0.62
Spearman Rank Test-0.34
Residual Average0.0
Price Variance440.29

Nasdaq Global Millen lagged returns against current returns

 Current and Lagged Values 

Nasdaq Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Nasdaq Global Lagged Returns

 Regressed Prices 

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