NZSE (New Zealand) Backtesting

NZ50 -- New Zealand Index  

 10,854  208.96  1.89%

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

NZSE 'What if' Analysis

July 25, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
October 23, 2019
0.00
If you would invest  0.00  in NZSE on July 25, 2019 and sell it all today you would earn a total of 0.00 from holding NZSE or generate 0.0% return on investment in NZSE over 90 days.

NZSE Upside/Downside Indicators

Downside Deviation0.7904
Information Ratio0.0857
Maximum Drawdown3.83
Value At Risk(1.31)
Potential Upside1.21

NZSE Market Premium Indicators

Risk Adjusted Performance0.06
Total Risk Alpha0.0611
Sortino Ratio0.0842

NZSE Backtested Returns

NZSE has Sharpe Ratio of -0.0039 which conveys that the entity had -0.0039% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy towards estimating risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. NZSE exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and NZSE are completely uncorrelated. Even though it is essential to pay attention to NZSE price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. NZSE exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.28 
correlation synergy

Poor predictability

NZSE has poor predictability. Overlapping area represents the amount of predictability between NZSE time series from July 25, 2019 to September 8, 2019 and September 8, 2019 to October 23, 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 NZSE price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current NZSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.28
Spearman Rank Test-0.51
Residual Average0.0
Price Variance13293.72

NZSE lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NZSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NZSE Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run Chance of Distress Now

   

Chance of Distress

Get analysis of equity chance of financial distress in the next 2 years
All  Next Launch Module

Also Currentnly Active

Purchased over 100 shares of
3 days ago
Traded for 24.76
Purchased over 200 shares of
3 days ago
Traded for 53.38
Purchased over 60 shares of
3 days ago
Traded for 78.1
See also NZSE Hype Analysis, NZSE Correlation, Portfolio Optimization, NZSE Volatility as well as analyze NZSE Alpha and Beta and NZSE Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
Search macroaxis.com