NASDAQ Composite Backtesting

XCMP -- USA Index  

 10,944  102.88  0.95%

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

NASDAQ Composite 'What if' Analysis

October 27, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 25, 2020
If you would invest  0.00  in NASDAQ Composite on October 27, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ Composite Total Return I or generate 0.0% return on investment in NASDAQ Composite over 90 days. NASDAQ Composite is related to or competes with SK Innovation, Apple, Microsoft, Alphabet, Amazon Com, VEDANTA, and Berkshire Hathaway. NASDAQ Composite is entity of United States

NASDAQ Composite Upside/Downside Indicators

Downside Deviation0.9346
Information Ratio0.0392
Maximum Drawdown3.12
Value At Risk(0.99)
Potential Upside1.11

NASDAQ Composite Market Premium Indicators

Risk Adjusted Performance0.1027
Total Risk Alpha(0.007982)
Sortino Ratio0.0268

NASDAQ Composite Total Backtested Returns

NASDAQ Composite Total has Sharpe Ratio of 0.2311 which conveys that the index had 0.2311% 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 Composite 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 Composite are completely uncorrelated. Although it is extremely important to respect NASDAQ Composite Total 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 Composite Total technical indicators you can now evaluate if the expected return of 0.1494% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.85 
correlation synergy

Very good predictability

NASDAQ Composite Total Return I has very good predictability. Overlapping area represents the amount of predictability between NASDAQ Composite time series from October 27, 2019 to December 11, 2019 and December 11, 2019 to January 25, 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 Composite Total price movement. The serial correlation of 0.85 indicates that around 85.0% of current NASDAQ Composite price fluctuation can be explain by its past prices.
Correlation Coefficient0.85
Spearman Rank Test0.84
Residual Average0.0
Price Variance68325.68

NASDAQ Composite Total lagged returns against current returns

 Current and Lagged Values 

NASDAQ Composite regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NASDAQ Composite Lagged Returns

 Regressed Prices 

Current Sentiment - XCMP

NASDAQ Composite Total Investor Sentiment

Macroaxis traders are unemotional in their take regarding direction of NASDAQ Composite Total Return I Index. What is your trading attitude regarding investing in USA companies? Are you bullish or bearish on NASDAQ Composite Total Return I?
50% Bullish
50% Bearish

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See also NASDAQ Composite Hype Analysis, NASDAQ Composite Correlation, Portfolio Optimization, NASDAQ Composite Volatility as well as analyze NASDAQ Composite Alpha and Beta and NASDAQ Composite Performance. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.