Nasdaq US Backtesting

NQU
NQUSSVN -- USA Index  

 1,430  45.71  3.10%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Nasdaq US Small Cap Value NTR I 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

October 28, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
January 26, 2020
0.00
If you would invest  0.00  in Nasdaq US on October 28, 2019 and sell it all today you would earn a total of 0.00 from holding Nasdaq US Small Cap Value NTR I or generate 0.0% return on investment in Nasdaq US over 90 days. Nasdaq US is related to or competes with Kudelski, VEDANTA, Berkshire Hathaway, Royal Bank, and NIPPON TEL.

Nasdaq US Upside/Downside Indicators

Information Ratio(0.16)
Maximum Drawdown3.95
Value At Risk(1.63)
Potential Upside1.56

Nasdaq US Market Premium Indicators

Risk Adjusted Performance(0.009591)
Total Risk Alpha(0.25)

Nasdaq US Small Backtested Returns

Nasdaq US Small has Sharpe Ratio of 0.0149 which conveys that the entity had 0.0149% 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-one 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 0.0145% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.73 
correlation synergy

Good predictability

Nasdaq US Small Cap Value NTR I has good predictability. Overlapping area represents the amount of predictability between Nasdaq US time series from October 28, 2019 to December 12, 2019 and December 12, 2019 to January 26, 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 Small price movement. The serial correlation of 0.73 indicates that around 73.0% of current Nasdaq US price fluctuation can be explain by its past prices.
Correlation Coefficient0.73
Spearman Rank Test-0.44
Residual Average0.0
Price Variance361.59

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 

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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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.