NASDAQ N Backtesting

NQNALM -- USA Index  

 1,708  42.63  2.56%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NASDAQ N America Large Mid Cap and determine expected loss or profit from investing in NASDAQ N over given investment horizon. See also NASDAQ N Hype Analysis, NASDAQ N Correlation, Portfolio Optimization, NASDAQ N Volatility as well as analyze NASDAQ N Alpha and Beta and NASDAQ N Performance.
Horizon     30 Days    Login   to change

NASDAQ N 'What if' Analysis

October 30, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 28, 2020
If you would invest  0.00  in NASDAQ N on October 30, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ N America Large Mid Cap or generate 0.0% return on investment in NASDAQ N over 90 days. NASDAQ N is related to or competes with Kudelski, VEDANTA, Berkshire Hathaway, Royal Bank, and NIPPON TEL.

NASDAQ N Upside/Downside Indicators

Downside Deviation0.9585
Information Ratio(0.030047)
Maximum Drawdown2.98
Value At Risk(1.26)
Potential Upside0.8707

NASDAQ N Market Premium Indicators

Risk Adjusted Performance0.0513
Total Risk Alpha(0.019772)
Sortino Ratio(0.019732)

NASDAQ N America Backtested Returns

NASDAQ N America has Sharpe Ratio of 0.1453 which conveys that the index had 0.1453% 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 N 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 N are completely uncorrelated. Although it is extremely important to respect NASDAQ N America 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 N America technical indicators you can now evaluate if the expected return of 0.098% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.74 
correlation synergy

Good predictability

NASDAQ N America Large Mid Cap has good predictability. Overlapping area represents the amount of predictability between NASDAQ N time series from October 30, 2019 to December 14, 2019 and December 14, 2019 to January 28, 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 N America price movement. The serial correlation of 0.74 indicates that around 74.0% of current NASDAQ N price fluctuation can be explain by its past prices.
Correlation Coefficient0.74
Spearman Rank Test0.48
Residual Average0.0
Price Variance621.79

NASDAQ N America lagged returns against current returns

 Current and Lagged Values 

NASDAQ N regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NASDAQ N Lagged Returns

 Regressed Prices 

Current Sentiment - NQNALM

NASDAQ N America Investor Sentiment

Macroaxis traders are unemotional in their take regarding direction of NASDAQ N America Large Mid Cap Index. What is your trading attitude regarding investing in USA companies? Are you bullish or bearish on NASDAQ N America Large Mid Cap?
50% Bullish
50% Bearish

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