Nasdaq Backtesting

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NDAQ -- USA Stock  

 Earnings Call  Tomorrow

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

Nasdaq '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 on October 30, 2019 and sell it all today you would earn a total of 0.00 from holding Nasdaq or generate 0.0% return on investment in Nasdaq over 90 days. Nasdaq is related to or competes with CME, FactSet Research, Intercontinental, Moodys, Morningstar, MSCI, and Nasdaq. Nasdaq, Inc. provides trading, clearing, marketplace technology, regulatory, securities listing, information, and public...

Nasdaq Upside/Downside Indicators

Downside Deviation0.7379
Information Ratio0.0716
Maximum Drawdown3.51
Value At Risk(0.90)
Potential Upside1.44

Nasdaq Market Premium Indicators

Risk Adjusted Performance0.1047
Jensen Alpha0.0991
Total Risk Alpha0.041
Sortino Ratio0.0728
Treynor Ratio0.4526

Nasdaq Backtested Returns

We consider Nasdaq very steady. Nasdaq has Sharpe Ratio of 0.2441 which conveys that the firm had 0.2441% of return per unit of risk over the last 3 months. Our philosophy towards estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for Nasdaq which you can use to evaluate future volatility of the firm. Please verify Nasdaq Risk Adjusted Performance of 0.1047, Downside Deviation of 0.7379 and Mean Deviation of 0.5664 to check out if risk estimate we provide are consistent with the epected return of 0.1642%. Nasdaq has performance score of 16 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.253 which conveys that as returns on market increase, Nasdaq returns are expected to increase less than the market. However during bear market, the loss on holding Nasdaq will be expected to be smaller as well. Although it is extremely important to respect Nasdaq price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Nasdaq technical indicators you can presently evaluate if the expected return of 0.1642% will be sustainable into the future. Nasdaq right now secures a risk of 0.6728%. Please verify Nasdaq Potential Upside as well as the relationship between Kurtosis and Day Typical Price to decide if Nasdaq will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.46 
correlation synergy

Average predictability

Nasdaq has average predictability. Overlapping area represents the amount of predictability between Nasdaq 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 price movement. The serial correlation of 0.46 indicates that about 46.0% of current Nasdaq price fluctuation can be explain by its past prices.
Correlation Coefficient0.46
Spearman Rank Test0.52
Residual Average0.0
Price Variance2.02

Nasdaq lagged returns against current returns

 Current and Lagged Values 

Nasdaq regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Nasdaq Lagged Returns

 Regressed Prices 

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Additionally see Nasdaq Hype Analysis, Nasdaq Correlation, Nasdaq Valuation, Nasdaq Volatility as well as analyze Nasdaq Alpha and Beta and Nasdaq Performance. Please also try Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.