DOW Backtesting

DJI -- USA Index  

 28,536  453.93  1.57%

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

DOW 'What if' Analysis

October 29, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 27, 2020
If you would invest  0.00  in DOW on October 29, 2019 and sell it all today you would earn a total of 0.00 from holding DOW or generate 0.0% return on investment in DOW over 90 days. DOW is related to or competes with Kudelski, VEDANTA, Berkshire Hathaway, and Royal Bank. DOW is entity of United States. It is traded as Index on Index exchange.

DOW Upside/Downside Indicators

Downside Deviation0.4747
Maximum Drawdown2.12
Value At Risk(0.64)
Potential Upside0.9212

DOW Market Premium Indicators

Risk Adjusted Performance0.1209

DOW Backtested Returns

DOW secures Sharpe Ratio (or Efficiency) of 0.0956 which denotes the index had 0.0956% of return per unit of volatility over the last 3 months. Our approach towards 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-eight technical indicators for DOW 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 DOW are completely uncorrelated. Although it is extremely important to respect DOW historical returns, it is better to be realistic regarding the information on 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 DOW technical indicators you can now evaluate if the expected return of 0.0601% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.60 
correlation synergy

Good predictability

DOW has good predictability. Overlapping area represents the amount of predictability between DOW time series from October 29, 2019 to December 13, 2019 and December 13, 2019 to January 27, 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 DOW price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current DOW price fluctuation can be explain by its past prices.
Correlation Coefficient0.6
Spearman Rank Test0.67
Residual Average0.0
Price Variance115804.15

DOW lagged returns against current returns

 Current and Lagged Values 

DOW regressed lagged prices vs. current prices

 Current vs Lagged Prices 

DOW Lagged Returns

 Regressed Prices 

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See also DOW Hype Analysis, DOW Correlation, Portfolio Optimization, DOW Volatility as well as analyze DOW Alpha and Beta and DOW Performance. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.