CAC 40 (France) Backtesting

CAC 40 -- France Index  

 5,223  59.06  1.12%

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
 Time Horizon     30 Days    Login   to change

CAC 40 'What if' Analysis

January 19, 2018
No Change 0.00  0.0%
In 31 days
February 18, 2018
If you would invest  0.00  in CAC 40 on January 19, 2018 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 30 days.

CAC 40 Upside/Downside Indicators


CAC 40 Market Premium Indicators

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 Backtested Returns

CAC 40 retains Efficiency (Sharpe Ratio) of -0.1771 which signifies that CAC 40 had -0.1771% of return per unit of risk over the last 1 month. 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-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The entity owns 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-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.35) 

Poor reverse predictability

CAC 40 has poor reverse predictability. Overlapping area represents the amount of predictability between CAC 40 time series from January 19, 2018 to February 3, 2018 and February 3, 2018 to February 18, 2018. 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 0.07
Price Variance 5031.08
Lagged Price Variance 2355.48

CAC 40 Lagged Returns

 Regressed Prices 

CAC 40 Performance vs CAC 40

The median price of CAC 40 for the period between Fri, Jan 19, 2018 and Sun, Feb 18, 2018 is 5454.55 with a coefficient of variation of 3.12. The daily time series for the period is distributed with a sample standard deviation of 166.91, arithmetic mean of 5352.46, and mean deviation of 151.95. The Index did not receive any noticable media coverage during the period.
Price Growth (%)