CAC 40 (France) Backtesting

FCHI -- France Index  

 5,691  31.70  0.56%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of CAC 40 and determine expected loss or profit from investing in CAC 40 over given investment horizon. See also CAC 40 Hype Analysis, CAC 40 Correlation, Portfolio Optimization, CAC 40 Volatility as well as analyze CAC 40 Alpha and Beta and CAC 40 Performance.
Horizon     30 Days    Login   to change

CAC 40 'What if' Analysis

June 22, 2019
No Change 0.00  0.0%
In 3 months and 1 day
September 20, 2019
If you would invest  0.00  in CAC 40 on June 22, 2019 and sell it all today you would earn a total of 0.00 from holding CAC 40 or generate 0.0% return on investment in CAC 40 over 90 days.

CAC 40 Upside/Downside Indicators

Downside Deviation1.14
Information Ratio(0.01649)
Maximum Drawdown4.49
Value At Risk(1.61)
Potential Upside1.34

CAC 40 Market Premium Indicators

Risk Adjusted Performance0.0138
Total Risk Alpha(0.014504)
Sortino Ratio(0.012869)

CAC 40 Backtested Returns

CAC 40 retains Efficiency (Sharpe Ratio) of 0.0552 which signifies that the index had 0.0552% of return per unit of risk over the last 3 months. Our approach to foreseeing 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 CAC 40 which you can use to evaluate future volatility of the entity. The entity owns Beta (Systematic Risk) of 0.0 which signifies that the returns on MARKET and CAC 40 are completely uncorrelated. Although it is extremely important to respect CAC 40 existing price patterns, it is better to be realistic regarding the information on equity price patterns. The approach to foreseeing 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 examining CAC 40 technical indicators you can at this time evaluate if the expected return of 0.0514% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.35) 
correlation synergy

Poor reverse predictability

CAC 40 has poor reverse predictability. Overlapping area represents the amount of predictability between CAC 40 time series from June 22, 2019 to August 6, 2019 and August 6, 2019 to September 20, 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 CAC 40 price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current CAC 40 price fluctuation can be explain by its past prices. Given that CAC 40 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of CAC 40 for similar time interval.
Correlation Coefficient-0.35
Spearman Rank Test-0.13
Residual Average0.0
Price Variance18740.62

CAC 40 lagged returns against current returns

 Current and Lagged Values 

CAC 40 regressed lagged prices vs. current prices

 Current vs Lagged Prices 

CAC 40 Lagged Returns

 Regressed Prices 

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See also CAC 40 Hype Analysis, CAC 40 Correlation, Portfolio Optimization, CAC 40 Volatility as well as analyze CAC 40 Alpha and Beta and CAC 40 Performance. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .