NIKKEI 225 (Japan) Backtesting

N225 -- Japan Index  

 22,079  34.64  0.16%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NIKKEI 225 and determine expected loss or profit from investing in NIKKEI 225 over given investment horizon. See also NIKKEI 225 Hype Analysis, NIKKEI 225 Correlation, Portfolio Optimization, NIKKEI 225 Volatility as well as analyze NIKKEI 225 Alpha and Beta and NIKKEI 225 Performance.
Horizon     30 Days    Login   to change

NIKKEI 225 'What if' Analysis

June 24, 2019
No Change 0.00  0.0%
In 2 months and 31 days
September 22, 2019
If you would invest  0.00  in NIKKEI 225 on June 24, 2019 and sell it all today you would earn a total of 0.00 from holding NIKKEI 225 or generate 0.0% return on investment in NIKKEI 225 over 90 days.

NIKKEI 225 Upside/Downside Indicators

Downside Deviation1.09
Information Ratio(0.009419)
Maximum Drawdown4.17
Value At Risk(1.74)
Potential Upside1.05

NIKKEI 225 Market Premium Indicators

Risk Adjusted Performance0.0225
Total Risk Alpha(0.005254)
Sortino Ratio(0.006863)

NIKKEI 225 Backtested Returns

NIKKEI 225 has Sharpe Ratio of 0.0709 which conveys that the entity had 0.0709% of return per unit of volatility over the last 3 months. Our approach 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 NIKKEI 225 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 NIKKEI 225 are completely uncorrelated. Although it is extremely important to respect NIKKEI 225 price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach 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 inspecting NIKKEI 225 technical indicators you can now evaluate if the expected return of 0.0618% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.42) 
correlation synergy

Modest reverse predictability

NIKKEI 225 has modest reverse predictability. Overlapping area represents the amount of predictability between NIKKEI 225 time series from June 24, 2019 to August 8, 2019 and August 8, 2019 to September 22, 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 NIKKEI 225 price movement. The serial correlation of -0.42 indicates that just about 42.0% of current NIKKEI 225 price fluctuation can be explain by its past prices. Given that NIKKEI 225 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NIKKEI 225 for similar time interval.
Correlation Coefficient-0.42
Spearman Rank Test-0.09
Residual Average0.0
Price Variance409384.76

NIKKEI 225 lagged returns against current returns

 Current and Lagged Values 

NIKKEI 225 regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NIKKEI 225 Lagged Returns

 Regressed Prices 

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See also NIKKEI 225 Hype Analysis, NIKKEI 225 Correlation, Portfolio Optimization, NIKKEI 225 Volatility as well as analyze NIKKEI 225 Alpha and Beta and NIKKEI 225 Performance. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.