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NASDAQ Composite Backtesting

COM
COMP -- USA Index  

 9,751  66.22  0.67%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NASDAQ Composite 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.
SymbolX
Backtest

NASDAQ Composite 'What if' Analysis

November 22, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
February 20, 2020
0.00
If you would invest  0.00  in NASDAQ Composite on November 22, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ Composite 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 is entity of United States

NASDAQ Composite Upside/Downside Indicators

Downside Deviation1.5
Information Ratio0.0855
Maximum Drawdown6.35
Value At Risk(1.80)
Potential Upside1.68

NASDAQ Composite Market Premium Indicators

Risk Adjusted Performance0.1343
Total Risk Alpha0.0638
Sortino Ratio0.0589

NASDAQ Composite Backtested Returns

NASDAQ Composite has Sharpe Ratio of 0.185 which conveys that the index had 0.185% 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 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 technical indicators you can now evaluate if the expected return of 0.1891% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.82 
correlation synergy

Very good predictability

NASDAQ Composite has very good predictability. Overlapping area represents the amount of predictability between NASDAQ Composite time series from November 22, 2019 to January 6, 2020 and January 6, 2020 to February 20, 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 price movement. The serial correlation of 0.82 indicates that around 82.0% of current NASDAQ Composite price fluctuation can be explain by its past prices.
Correlation Coefficient0.82
Spearman Rank Test0.81
Residual Average0.0
Price Variance57229.88

NASDAQ Composite 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 

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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 Money Managers module to screen money managers from public funds and etfs managed around the world.