FTSE MIB (Italy) Backtesting

FTSE MIB -- Italy Index  

 23,430  1.94  0.0083%

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
 Time Horizon     30 Days    Login   to change

FTSE MIB 'What if' Analysis

December 19, 2017
No Change 0.00  0.0%
In 31 days
January 18, 2018
If you would invest  0.00  in FTSE MIB on December 19, 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 0.3518 which denotes FTSE MIB had 0.3518% of return per unit of volatility over the last 1 month. Our approach towards predicting volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for FTSE MIB which you can use to evaluate future volatility of the entity. 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. Although it is vital to follow to FTSE MIB historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The approach towards 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 evaluating FTSE MIB technical indicators you can now evaluate if the expected return of 0.3012% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.77) 

Almost perfect reverse predictability

FTSE MIB has almost perfect reverse predictability. Overlapping area represents the amount of predictability between FTSE MIB time series from December 19, 2017 to January 3, 2018 and January 3, 2018 to January 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 FTSE MIB price movement. The serial correlation of -0.77 indicates that around 77.0% 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 -0.77
Spearman Rank Test -0.78
Price Variance 217684.81
Lagged Price Variance 26082.53

FTSE MIB Lagged Returns

 Regressed Prices 

FTSE MIB Performance vs FTSE MIB

The median price of FTSE MIB for the period between Tue, Dec 19, 2017 and Thu, Jan 18, 2018 is 22390.53 with a coefficient of variation of 2.07. The daily time series for the period is distributed with a sample standard deviation of 464.15, arithmetic mean of 22466.89, and mean deviation of 384.9. The Index did not receive any noticable media coverage during the period.
Price Growth (%)