DAX (Germany) Backtesting

GDAXI -- Germany Index  

 13,283  61.08  0.46%

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

DAX 'What if' Analysis

September 16, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 15, 2019
0.00
If you would invest  0.00  in DAX on September 16, 2019 and sell it all today you would earn a total of 0.00 from holding DAX or generate 0.0% return on investment in DAX over 90 days.

DAX Upside/Downside Indicators

Downside Deviation1.64
Information Ratio0.0388
Maximum Drawdown7.72
Value At Risk(2.10)
Potential Upside2.12

DAX Market Premium Indicators

Risk Adjusted Performance0.0541
Total Risk Alpha1.0E-4
Sortino Ratio0.0306

DAX Backtested Returns

DAX secures Sharpe Ratio (or Efficiency) of 0.0983 which denotes the index had 0.0983% of return per unit of volatility over the last 3 months. Our way of predicting 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 DAX which you can use to evaluate future volatility of the entity. The entity shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and DAX are completely uncorrelated. Although it is extremely important to respect DAX historical returns, it is better to be realistic regarding the information on equity current trending patterns. The way of predicting 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 DAX technical indicators you can today evaluate if the expected return of 0.1256% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.15) 
correlation synergy

Insignificant reverse predictability

DAX has insignificant reverse predictability. Overlapping area represents the amount of predictability between DAX time series from September 16, 2019 to October 31, 2019 and October 31, 2019 to December 15, 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 DAX price movement. The serial correlation of -0.15 indicates that less than 15.0% of current DAX price fluctuation can be explain by its past prices. Given that DAX has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of DAX for similar time interval.
Correlation Coefficient-0.15
Spearman Rank Test0.17
Residual Average0.0
Price Variance17362.38

DAX lagged returns against current returns

 Current and Lagged Values 
      Timeline 

DAX regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

DAX Lagged Returns

 Regressed Prices 
      Timeline 

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See also DAX Hype Analysis, DAX Correlation, Portfolio Optimization, DAX Volatility as well as analyze DAX Alpha and Beta and DAX Performance. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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