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Nasdaq Backtesting

IXI
IXIC -- USA Index  

 9,577  174.37  1.79%

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

Nasdaq 'What if' Analysis

November 23, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
February 21, 2020
0.00
If you would invest  0.00  in Nasdaq on November 23, 2019 and sell it all today you would earn a total of 0.00 from holding Nasdaq or generate 0.0% return on investment in Nasdaq over 90 days. Nasdaq is related to or competes with SK Innovation, Bristol Myer, Microsoft, Apple, Alphabet, Berkshire Hathaway, and Berkshire Hathaway. Nasdaq is entity of United States. It is traded as Index on Index exchange.

Nasdaq Upside/Downside Indicators

Downside Deviation1.07
Information Ratio0.1467
Maximum Drawdown5.1
Value At Risk(0.93)
Potential Upside1.33

Nasdaq Market Premium Indicators

Risk Adjusted Performance0.1738
Total Risk Alpha0.1232
Sortino Ratio0.1232

Nasdaq Backtested Returns

Nasdaq has Sharpe Ratio of 0.18 which conveys that the entity had 0.18% of return per unit of risk over the last 3 months. Our philosophy towards 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 which you can use to evaluate future volatility of the organization. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and Nasdaq are completely uncorrelated. Although it is extremely important to respect Nasdaq price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards 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 analyzing Nasdaq technical indicators you can presently evaluate if the expected return of 0.1692% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.66 
correlation synergy

Good predictability

Nasdaq has good predictability. Overlapping area represents the amount of predictability between Nasdaq time series from November 23, 2019 to January 7, 2020 and January 7, 2020 to February 21, 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 price movement. The serial correlation of 0.66 indicates that around 66.0% of current Nasdaq price fluctuation can be explain by its past prices.
Correlation Coefficient0.66
Spearman Rank Test0.75
Residual Average0.0
Price Variance41086.96

Nasdaq lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Nasdaq regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Nasdaq Lagged Returns

 Regressed Prices 
    
  Timeline 

Current Sentiment - IXIC

Nasdaq Investor Sentiment

Most of Macroaxis investors are at this time bullish on Nasdaq. What is your trading attitude regarding investing in USA companies? Are you bullish or bearish on Nasdaq?
Bullish
Bearish
98% Bullish
2% Bearish
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Check out Nasdaq Hype Analysis, Nasdaq Correlation, Portfolio Optimization, Nasdaq Volatility as well as analyze Nasdaq Alpha and Beta and Nasdaq Performance. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.