NYSE Backtesting

NYA -- USA Index  

 13,076  0.05  0.0004%

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

NYSE 'What if' Analysis

June 24, 2019
No Change 0.00  0.0%
In 3 months and 1 day
September 22, 2019
If you would invest  0.00  in NYSE on June 24, 2019 and sell it all today you would earn a total of 0.00 from holding NYSE or generate 0.0% return on investment in NYSE over 90 days.

NYSE Upside/Downside Indicators

Downside Deviation1.01
Information Ratio(0.011033)
Maximum Drawdown4.35
Value At Risk(1.27)
Potential Upside1.1

NYSE Market Premium Indicators

Risk Adjusted Performance0.0206
Total Risk Alpha(0.007098)
Sortino Ratio(0.008821)

NYSE Backtested Returns

NYSE has Sharpe Ratio of 0.0121 which conveys that the entity had 0.0121% of return per unit of standard deviation 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-one technical indicators for NYSE 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 NYSE are completely uncorrelated. Although it is extremely important to respect NYSE 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 reviewing NYSE technical indicators you can currently evaluate if the expected return of 0.0098% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.45) 
correlation synergy

Modest reverse predictability

NYSE has modest reverse predictability. Overlapping area represents the amount of predictability between NYSE time series from June 24, 2019 to August 8, 2019 and August 8, 2019 to September 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 NYSE price movement. The serial correlation of -0.45 indicates that just about 45.0% of current NYSE price fluctuation can be explain by its past prices. Given that NYSE has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NYSE for similar time interval.
Correlation Coefficient-0.45
Spearman Rank Test0.0
Residual Average0.0
Price Variance60492.06

NYSE lagged returns against current returns

 Current and Lagged Values 

NYSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NYSE Lagged Returns

 Regressed Prices 

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