Hang Seng (Hong Kong) Backtesting

HSI -- Hong Kong Index  

 26,402  66.56  0.25%

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

Hang Seng 'What if' Analysis

June 22, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 20, 2019
0.00
If you would invest  0.00  in Hang Seng on June 22, 2019 and sell it all today you would earn a total of 0.00 from holding Hang Seng or generate 0.0% return on investment in Hang Seng over 90 days.

Hang Seng Upside/Downside Indicators

Information Ratio(0.038338)
Maximum Drawdown6.56
Value At Risk(2.29)
Potential Upside1.93

Hang Seng Market Premium Indicators

Risk Adjusted Performance(0.011027)
Total Risk Alpha(0.05)

Hang Seng Backtested Returns

Hang Seng holds Efficiency (Sharpe) Ratio of -0.0945 which attests that the entity had -0.0945% of return per unit of risk over the last 3 months. Macroaxis philosophy towards determining 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. Hang Seng exposes twenty-six different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Hang Seng are completely uncorrelated. Even though it is essential to pay attention to Hang Seng current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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. Hang Seng exposes twenty-six different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.70) 
correlation synergy

Very good reverse predictability

Hang Seng has very good reverse predictability. Overlapping area represents the amount of predictability between Hang Seng time series from June 22, 2019 to August 6, 2019 and August 6, 2019 to September 20, 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 Hang Seng price movement. The serial correlation of -0.7 indicates that around 70.0% of current Hang Seng price fluctuation can be explain by its past prices. Given that Hang Seng has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Hang Seng for similar time interval.
Correlation Coefficient-0.7
Spearman Rank Test-0.39
Residual Average0.0
Price Variance354184.04

Hang Seng lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Hang Seng regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Hang Seng Lagged Returns

 Regressed Prices 
      Timeline 

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