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CAC 40 (France) Backtesting

CAC
FCHI -- France Index  

 4,346  191.56  4.61%

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. Check out 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.
Symbol
Backtest

CAC 40 'What if' Analysis

0.00
01/07/2020
No Change 0.00  0.0 
In 3 months and 1 day
04/06/2020
0.00
If you would invest  0.00  in CAC 40 on January 7, 2020 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 is related to or competes with LVMH, and TOTAL. CAC 40 is entity of France. It is traded as Index on Index exchange.

CAC 40 Upside/Downside Indicators

Information Ratio(0.038205)
Maximum Drawdown16.21
Value At Risk(5.75)
Potential Upside3.93

CAC 40 Market Premium Indicators

Risk Adjusted Performance(0.66)
Total Risk Alpha(0.20)

CAC 40 Backtested Returns

CAC 40 retains Efficiency (Sharpe Ratio) of -0.1438, which signifies that the index had -0.1438% of return per unit of risk over the last 3 months. Macroaxis approach to foreseeing risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. CAC 40 exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. The entity owns a Beta (Systematic Risk) of 0.0, which signifies that the returns on MARKET and CAC 40 are completely uncorrelated. Even though it is essential to pay attention to CAC 40 existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis approach to foreseeing future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. CAC 40 exposes twenty-eight different technical indicators, which can help you to evaluate its performance.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.42 
correlation synergy

Average predictability

CAC 40 has average predictability. Overlapping area represents the amount of predictability between CAC 40 time series from 7th of January 2020 to 21st of February 2020 and 21st of February 2020 to 6th of April 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 CAC 40 price movement. The serial correlation of 0.42 indicates that just about 42.0% of current CAC 40 price fluctuation can be explain by its past prices.
Correlation Coefficient0.42
Spearman Rank Test-0.4
Residual Average0.0
Price Variance434680.22

CAC 40 lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

CAC 40 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

CAC 40 Lagged Returns

 Regressed Prices 
    
  Timeline 

Current Sentiment - FCHI

CAC 40 Investor Sentiment

Most of Macroaxis investors are at this time bullish on CAC 40. What is your opinion about investing in France companies? Are you bullish or bearish on CAC 40?
Bullish
Bearish
98% Bullish
2% Bearish
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Check out 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page