NZSE (New Zealand) Backtesting

NZ50 -- New Zealand Index  

 10,832  31.66  0.29%

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

June 19, 2019
0.00
No Change 0.00  0.0%
In 2 months and 31 days
September 17, 2019
0.00
If you would invest  0.00  in NZSE on June 19, 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 Deviation0.8024
Information Ratio0.0844
Maximum Drawdown3.83
Value At Risk(1.31)
Potential Upside1.15

NZSE Market Premium Indicators

Risk Adjusted Performance0.1089
Total Risk Alpha0.0648
Sortino Ratio0.0763

NZSE Backtested Returns

NZSE has Sharpe Ratio of 0.1114 which conveys that the entity had 0.1114% of return per unit of standard deviation 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 NZSE 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 NZSE are completely uncorrelated. Although it is extremely important to respect NZSE 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 reviewing NZSE technical indicators you can currently evaluate if the expected return of 0.0846% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.38 
correlation synergy

Below average predictability

NZSE has below average predictability. Overlapping area represents the amount of predictability between NZSE time series from June 19, 2019 to August 3, 2019 and August 3, 2019 to September 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 NZSE price movement. The serial correlation of 0.38 indicates that just about 38.0% of current NZSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.38
Spearman Rank Test0.33
Residual Average0.0
Price Variance29460.19

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 

Current Sentiment - NZ50

NZSE Investor Sentiment

Most of Macroaxis investors are at this time bullish on NZSE. What is your trading attitude regarding investing in New Zealand companies? Are you bullish or bearish on NZSE?
Bullish
Bearish
98% Bullish
2% Bearish
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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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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