ISEQ (Ireland) Backtesting

ISEQ -- Ireland Index  

 6,506  6.51  0.10%

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. See also ISEQ Hype Analysis, ISEQ Correlation, Portfolio Optimization, ISEQ Volatility as well as analyze ISEQ Alpha and Beta and ISEQ Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

ISEQ '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 ISEQ on July 25, 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 Deviation1.48
Information Ratio0.0351
Maximum Drawdown5.94
Value At Risk(2.21)
Potential Upside2.44

ISEQ Market Premium Indicators

Risk Adjusted Performance0.0269
Total Risk Alpha0.0671
Sortino Ratio0.0356

ISEQ Backtested Returns

ISEQ holds Efficiency (Sharpe) Ratio of 0.0306 which attests that the entity had 0.0306% 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 0.0461% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.10 
correlation synergy

Insignificant predictability

ISEQ has insignificant predictability. Overlapping area represents the amount of predictability between ISEQ 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 ISEQ price movement. The serial correlation of 0.1 indicates that less than 10.0% of current ISEQ price fluctuation can be explain by its past prices.
Correlation Coefficient0.1
Spearman Rank Test-0.11
Residual Average0.0
Price Variance32266.35

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 

Current Sentiment - ISEQ

ISEQ Investor Sentiment

Most of Macroaxis investors are at this time bullish on ISEQ. What is your judgment towards investing in Ireland companies? Are you bullish or bearish on ISEQ?
Bullish
Bearish
98% Bullish
2% Bearish
Skip

Also Currentnly Active

Purchased over 100 shares of
3 days ago
Traded for 24.76
Purchased over 200 shares of
3 days ago
Traded for 53.38
Purchased over 60 shares of
3 days ago
Traded for 78.1
See also ISEQ Hype Analysis, ISEQ Correlation, Portfolio Optimization, ISEQ Volatility as well as analyze ISEQ Alpha and Beta and ISEQ Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
Search macroaxis.com