FTSE MIB (Italy) Backtesting

FTSE MIB -- Italy Index  

 22,207  113.65  0.51%

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

FTSE MIB 'What if' Analysis

October 20, 2017
No Change 0.00  0.0%
In 31 days
November 19, 2017
If you would invest  0.00  in FTSE MIB on October 20, 2017 and sell it all today you would earn a total of 0.00 from holding FTSE MIB or generate 0.0% return on investment in FTSE MIB over 30 days. FTSE MIB is entity of Italy. It is traded as Index on Index exchange.

FTSE MIB Upside/Downside Indicators


FTSE MIB Market Premium Indicators

FTSE MIB lagged returns against current returns

 Current and Lagged Values 

FTSE MIB regressed lagged prices vs. current prices

 Current vs Lagged Prices 

FTSE MIB Backtested Returns

FTSE MIB secures Sharpe Ratio (or Efficiency) of -0.0831 which denotes FTSE MIB had -0.0831% of return per unit of volatility over the last 1 month. Macroaxis approach towards predicting 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. FTSE MIB exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and FTSE MIB are completely uncorrelated. Even though it is essential to pay attention to FTSE MIB historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards predicting 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. FTSE MIB exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.88) 

Excellent reverse predictability

FTSE MIB has excellent reverse predictability. Overlapping area represents the amount of predictability between FTSE MIB time series from October 20, 2017 to November 4, 2017 and November 4, 2017 to November 19, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of FTSE MIB price movement. The serial correlation of -0.88 indicates that approximately 88.0% of current FTSE MIB price fluctuation can be explain by its past prices. Given that FTSE MIB has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of FTSE MIB for similar time interval.
Correlation Coefficient -0.88
Spearman Rank Test -0.89
Price Variance 100978.67
Lagged Price Variance 49485.36

FTSE MIB Lagged Returns

 Regressed Prices 

FTSE MIB Performance vs FTSE MIB

The median price of FTSE MIB for the period between Fri, Oct 20, 2017 and Sun, Nov 19, 2017 is 22560.79 with a coefficient of variation of 1.28. The daily time series for the period is distributed with a sample standard deviation of 287.5, arithmetic mean of 22537.76, and mean deviation of 247.65. The Index did not receive any noticable media coverage during the period.
Price Growth (%)