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ISEQ (Ireland) Backtesting

ISE
ISEQ -- Ireland Index  

 7,161  3.76  0.05%

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

ISEQ 'What if' Analysis

November 20, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
February 18, 2020
0.00
If you would invest  0.00  in ISEQ on November 20, 2019 and sell it all today you would earn a total of 0.00 from holding ISEQ or generate 0.0% return on investment in ISEQ over 90 days.

ISEQ Upside/Downside Indicators

Downside Deviation1.47
Information Ratio(0.017054)
Maximum Drawdown6.1
Value At Risk(2.19)
Potential Upside2.01

ISEQ Market Premium Indicators

Risk Adjusted Performance0.0431
Total Risk Alpha(0.07)
Sortino Ratio(0.014947)

ISEQ Backtested Returns

ISEQ holds Efficiency (Sharpe) Ratio of 0.0846 which attests that the entity had 0.0846% of return per unit of return volatility over the last 3 months. Our way of determining 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 ISEQ which you can use to evaluate future volatility of the entity. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and ISEQ are completely uncorrelated. Although it is extremely important to respect ISEQ current price history, it is better to be realistic regarding the information on equity current price movements. The way of determining 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 analyzing ISEQ technical indicators you can now evaluate if the expected return of 0.1076% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.25) 
correlation synergy

Weak reverse predictability

ISEQ has weak reverse predictability. Overlapping area represents the amount of predictability between ISEQ time series from November 20, 2019 to January 4, 2020 and January 4, 2020 to February 18, 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 ISEQ price movement. The serial correlation of -0.25 indicates that over 25.0% of current ISEQ price fluctuation can be explain by its past prices. Given that ISEQ has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ISEQ for similar time interval.
Correlation Coefficient-0.25
Spearman Rank Test-0.41
Residual Average0.0
Price Variance5867.5

ISEQ lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

ISEQ regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

ISEQ Lagged Returns

 Regressed Prices 
    
  Timeline 

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Check out ISEQ Hype Analysis, ISEQ Correlation, Portfolio Optimization, ISEQ Volatility as well as analyze ISEQ Alpha and Beta and ISEQ Performance. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.