>

NASDAQ Composite Backtesting

XCM
XCMP -- USA Index  

 10,846  417.91  4.01%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NASDAQ Composite Total Return I and determine expected loss or profit from investing in NASDAQ Composite over given investment horizon. Check out NASDAQ Composite Hype Analysis, NASDAQ Composite Correlation, Portfolio Optimization, NASDAQ Composite Volatility as well as analyze NASDAQ Composite Alpha and Beta and NASDAQ Composite Performance.
Symbol
Backtest

NASDAQ Composite 'What if' Analysis

November 27, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
February 25, 2020
0.00
If you would invest  0.00  in NASDAQ Composite on November 27, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ Composite Total Return I or generate 0.0% return on investment in NASDAQ Composite over 90 days. NASDAQ Composite is related to or competes with SK Innovation, Microsoft, Apple, Alphabet, Alibaba Group, Visa, and JP Morgan.

NASDAQ Composite Upside/Downside Indicators

Downside Deviation2.18
Information Ratio0.0364
Maximum Drawdown6.34
Value At Risk(2.86)
Potential Upside1.69

NASDAQ Composite Market Premium Indicators

Risk Adjusted Performance0.0398
Total Risk Alpha0.0502
Sortino Ratio0.0221

NASDAQ Composite Total Backtested Returns

NASDAQ Composite Total has Sharpe Ratio of 0.0691 which conveys that the index had 0.0691% 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 Composite 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 Composite are completely uncorrelated. Although it is extremely important to respect NASDAQ Composite Total 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 Composite Total technical indicators you can now evaluate if the expected return of 0.0948% will be sustainable into the future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.40 
correlation synergy

Average predictability

NASDAQ Composite Total Return I has average predictability. Overlapping area represents the amount of predictability between NASDAQ Composite time series from November 27, 2019 to January 11, 2020 and January 11, 2020 to February 25, 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 Composite Total price movement. The serial correlation of 0.4 indicates that just about 40.0% of current NASDAQ Composite price fluctuation can be explain by its past prices.
Correlation Coefficient0.4
Spearman Rank Test0.65
Residual Average0.0
Price Variance78835.4

NASDAQ Composite Total lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

NASDAQ Composite regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

NASDAQ Composite Lagged Returns

 Regressed Prices 
    
  Timeline 

Did you try this?

Run Stock Screener Now

   

Stock Screener

Find equities using custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook.
All  Next Launch Module

Also Currentnly Active

Purchased few shares of
few hours ago
Traded for 185.94
Purchased a lot of shares of
few hours ago
Traded for 151.69
Purchased over 20 shares of
few hours ago
Traded for 129.54
Check out NASDAQ Composite Hype Analysis, NASDAQ Composite Correlation, Portfolio Optimization, NASDAQ Composite Volatility as well as analyze NASDAQ Composite Alpha and Beta and NASDAQ Composite Performance. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.