NASDAQ Global Backtesting

NQGM -- USA Index  

 2,830  19.87  0.71%

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

NASDAQ Global 'What if' Analysis

November 20, 2019
No Change 0.00  0.0 
In 3 months and 1 day
February 18, 2020
If you would invest  0.00  in NASDAQ Global on November 20, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ Global Market Composite or generate 0.0% return on investment in NASDAQ Global over 90 days. NASDAQ Global is related to or competes with SK Innovation, Bayer Aktienges, NASPERS, and ENBRIDGE INC. NASDAQ Global is entity of United States

NASDAQ Global Upside/Downside Indicators

Downside Deviation1.89
Information Ratio0.109
Maximum Drawdown8.82
Value At Risk(1.88)
Potential Upside2.54

NASDAQ Global Market Premium Indicators

Risk Adjusted Performance0.1368
Total Risk Alpha0.0962
Sortino Ratio0.086

NASDAQ Global Market Backtested Returns

NASDAQ Global Market has Sharpe Ratio of 0.1505 which conveys that the index had 0.1505% 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 Global 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 Global are completely uncorrelated. Although it is extremely important to respect NASDAQ Global Market 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 Global Market technical indicators you can now evaluate if the expected return of 0.2254% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.65 
correlation synergy

Good predictability

NASDAQ Global Market Composite has good predictability. Overlapping area represents the amount of predictability between NASDAQ Global 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 NASDAQ Global Market price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current NASDAQ Global price fluctuation can be explain by its past prices.
Correlation Coefficient0.65
Spearman Rank Test0.69
Residual Average0.0
Price Variance3537.03

NASDAQ Global Market lagged returns against current returns

 Current and Lagged Values 

NASDAQ Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NASDAQ Global Lagged Returns

 Regressed Prices 

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Check out NASDAQ Global Hype Analysis, NASDAQ Global Correlation, Portfolio Optimization, NASDAQ Global Volatility as well as analyze NASDAQ Global Alpha and Beta and NASDAQ Global Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.