NASDAQ US Backtesting

NQMAUSN -- USA Index  

 1,074  6.71  0.63%

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

NASDAQ US 'What if' Analysis

November 25, 2019
No Change 0.00  0.0 
In 3 months and 1 day
February 23, 2020
If you would invest  0.00  in NASDAQ US on November 25, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ US Multi Asset Diversifi or generate 0.0% return on investment in NASDAQ US over 90 days. NASDAQ US is related to or competes with SK Innovation, Bristol Myer, Microsoft, Apple, Alphabet, Amazon Com, and Berkshire Hathaway.

NASDAQ US Upside/Downside Indicators

Downside Deviation0.8773
Information Ratio(0.08)
Maximum Drawdown3.27
Value At Risk(1.29)
Potential Upside0.8414

NASDAQ US Market Premium Indicators

Risk Adjusted Performance0.0034
Total Risk Alpha(0.040381)
Sortino Ratio(0.06)

NASDAQ US Multi Backtested Returns

NASDAQ US Multi has Sharpe Ratio of 0.0207 which conveys that the index had 0.0207% 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 US 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 US are completely uncorrelated. Although it is extremely important to respect NASDAQ US Multi 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 US Multi technical indicators you can now evaluate if the expected return of 0.0123% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.66) 
correlation synergy

Very good reverse predictability

NASDAQ US Multi Asset Diversifi has very good reverse predictability. Overlapping area represents the amount of predictability between NASDAQ US time series from November 25, 2019 to January 9, 2020 and January 9, 2020 to February 23, 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 US Multi price movement. The serial correlation of -0.66 indicates that around 66.0% of current NASDAQ US price fluctuation can be explain by its past prices. Given that NASDAQ US Multi Asset Diversifi has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NASDAQ US for similar time interval.
Correlation Coefficient-0.66
Spearman Rank Test-0.73
Residual Average0.0
Price Variance200.38

NASDAQ US Multi lagged returns against current returns

 Current and Lagged Values 

NASDAQ US regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NASDAQ US Lagged Returns

 Regressed Prices 

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Check out NASDAQ US Hype Analysis, NASDAQ US Correlation, Portfolio Optimization, NASDAQ US Volatility as well as analyze NASDAQ US Alpha and Beta and NASDAQ US Performance. Please also try Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.