All Ords (Australia) Backtesting

AORD -- Australia Index  

 6,778  12.20  0.18%

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

All Ords 'What if' Analysis

July 25, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
October 23, 2019
0.00
If you would invest  0.00  in All Ords on July 25, 2019 and sell it all today you would earn a total of 0.00 from holding All Ords or generate 0.0% return on investment in All Ords over 90 days.

All Ords Upside/Downside Indicators

Downside Deviation1.09
Information Ratio0.0239
Maximum Drawdown3.61
Value At Risk(1.98)
Potential Upside0.996

All Ords Market Premium Indicators

Risk Adjusted Performance0.0014
Total Risk Alpha0.0152
Sortino Ratio0.018

All Ords Backtested Returns

All Ords secures Sharpe Ratio (or Efficiency) of -0.0303 which signifies that the index had -0.0303% of return per unit of risk over the last 3 months. Macroaxis philosophy towards foreseeing risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. All Ords exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and All Ords are completely uncorrelated. Even though it is essential to pay attention to All Ords historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. All Ords exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.07 
correlation synergy

Virtually no predictability

All Ords has virtually no predictability. Overlapping area represents the amount of predictability between All Ords time series from July 25, 2019 to September 8, 2019 and September 8, 2019 to October 23, 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 All Ords price movement. The serial correlation of 0.07 indicates that barely 7.0% of current All Ords price fluctuation can be explain by its past prices.
Correlation Coefficient0.07
Spearman Rank Test-0.04
Residual Average0.0
Price Variance3868.34

All Ords lagged returns against current returns

 Current and Lagged Values 
      Timeline 

All Ords regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

All Ords Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - AORD

All Ords Investor Sentiment

Most of Macroaxis investors are at this time bullish on All Ords. What is your sentiment towards investing in Australia companies? Are you bullish or bearish on All Ords?
Bullish
Bearish
98% Bullish
2% Bearish
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See also All Ords Hype Analysis, All Ords Correlation, Portfolio Optimization, All Ords Volatility as well as analyze All Ords Alpha and Beta and All Ords Performance. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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