Nasdaq US Backtesting

NQUSSG -- USA Index  

 1,609  11.99  0.75%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Nasdaq US Small Cap Growth Inde and determine expected loss or profit from investing in Nasdaq US over given investment horizon. See also 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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Nasdaq US 'What if' Analysis

August 19, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
November 17, 2019
0.00
If you would invest  0.00  in Nasdaq US on August 19, 2019 and sell it all today you would earn a total of 0.00 from holding Nasdaq US Small Cap Growth Inde or generate 0.0% return on investment in Nasdaq US over 90 days.

Nasdaq US Upside/Downside Indicators

Downside Deviation1.79
Information Ratio(0.11)
Maximum Drawdown6.34
Value At Risk(3.30)
Potential Upside1.96

Nasdaq US Market Premium Indicators

Risk Adjusted Performance0.0091
Total Risk Alpha(0.22)
Sortino Ratio(0.07)

Nasdaq US Small Backtested Returns

Nasdaq US Small has Sharpe Ratio of 0.0068 which conveys that the entity had 0.0068% 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 US 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 US are completely uncorrelated. Although it is extremely important to respect Nasdaq US Small 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 US Small technical indicators you can presently evaluate if the expected return of 0.0085% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.54) 
correlation synergy

Good reverse predictability

Nasdaq US Small Cap Growth Inde has good reverse predictability. Overlapping area represents the amount of predictability between Nasdaq US time series from August 19, 2019 to October 3, 2019 and October 3, 2019 to November 17, 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 Nasdaq US Small price movement. The serial correlation of -0.54 indicates that about 54.0% of current Nasdaq US price fluctuation can be explain by its past prices. Given that Nasdaq US Small Cap Growth Inde 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-0.54
Spearman Rank Test-0.69
Residual Average0.0
Price Variance443.67

Nasdaq US Small lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Nasdaq US regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Nasdaq US Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - NQUSSG

Nasdaq US Small Investor Sentiment

Macroaxis traders are unemotional in their take regarding direction of Nasdaq US Small Cap Growth Inde Index. What is your trading attitude regarding investing in USA companies? Are you bullish or bearish on Nasdaq US Small Cap Growth Inde?
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Bearish
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See also 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 Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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