NASDAQ Global Backtesting

NQGS -- USA Index  

 4,599  0.14  0.003%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NASDAQ Global Select Market Com and determine expected loss or profit from investing in NASDAQ Global over given investment horizon. Check out 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.

NASDAQ Global 'What if' Analysis

November 21, 2019
No Change 0.00  0.0 
In 2 months and 31 days
February 19, 2020
If you would invest  0.00  in NASDAQ Global on November 21, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ Global Select Market Com or generate 0.0% return on investment in NASDAQ Global over 90 days. NASDAQ Global is related to or competes with SK Innovation, Bayer Aktienges, NASPERS, and ENBRIDGE INC. NASDAQ Global is entity of United States

NASDAQ Global Upside/Downside Indicators

Downside Deviation1.15
Information Ratio0.1279
Maximum Drawdown5.02
Value At Risk(1.57)
Potential Upside1.37

NASDAQ Global Market Premium Indicators

Risk Adjusted Performance0.1754
Total Risk Alpha0.1063
Sortino Ratio0.1049

NASDAQ Global Select Backtested Returns

NASDAQ Global Select has Sharpe Ratio of 0.2212 which conveys that the index had 0.2212% 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-six technical indicators for NASDAQ Global 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 Global are completely uncorrelated. Although it is extremely important to respect NASDAQ Global Select 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 Global Select technical indicators you can now evaluate if the expected return of 0.2061% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.77 
correlation synergy

Good predictability

NASDAQ Global Select Market Com has good predictability. Overlapping area represents the amount of predictability between NASDAQ Global time series from November 21, 2019 to January 5, 2020 and January 5, 2020 to February 19, 2020. 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 Select price movement. The serial correlation of 0.77 indicates that around 77.0% of current NASDAQ Global price fluctuation can be explain by its past prices.
Correlation Coefficient0.77
Spearman Rank Test0.77
Residual Average0.0
Price Variance10997.86

NASDAQ Global Select 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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Check out 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..