NZSE (New Zealand) Backtesting

NZ50 -- New Zealand Index  

 11,230  46.61  0.41%

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

NZSE 'What if' Analysis

September 9, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 8, 2019
0.00
If you would invest  0.00  in NZSE on September 9, 2019 and sell it all today you would earn a total of 0.00 from holding NZSE or generate 0.0% return on investment in NZSE over 90 days.

NZSE Upside/Downside Indicators

Downside Deviation0.7028
Information Ratio(0.07)
Maximum Drawdown3.34
Value At Risk(0.86)
Potential Upside0.8667

NZSE Market Premium Indicators

Risk Adjusted Performance0.024
Total Risk Alpha(0.05)
Sortino Ratio(0.07)

NZSE Backtested Returns

NZSE has Sharpe Ratio of 0.0186 which conveys that the entity had 0.0186% 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-seven technical indicators for NZSE 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 NZSE are completely uncorrelated. Although it is extremely important to respect NZSE 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 NZSE technical indicators you can currently evaluate if the expected return of 0.0119% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.53 
correlation synergy

Modest predictability

NZSE has modest predictability. Overlapping area represents the amount of predictability between NZSE time series from September 9, 2019 to October 24, 2019 and October 24, 2019 to December 8, 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 NZSE price movement. The serial correlation of 0.53 indicates that about 53.0% of current NZSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.53
Spearman Rank Test0.45
Residual Average0.0
Price Variance34499.89

NZSE lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NZSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NZSE Lagged Returns

 Regressed Prices 
      Timeline 

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See also NZSE Hype Analysis, NZSE Correlation, Portfolio Optimization, NZSE Volatility as well as analyze NZSE Alpha and Beta and NZSE Performance. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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