CAC 40 (France) Backtesting

FCHI -- France Index  

 5,029  52.07  1.02%

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. Check out 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.

CAC 40 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in CAC 40 on April 8, 2020 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 90 days.

CAC 40 Upside/Downside Indicators

Downside Deviation2.06
Information Ratio(0.019582)
Maximum Drawdown9.87
Value At Risk(3.76)
Potential Upside3.64

CAC 40 Market Premium Indicators

Risk Adjusted Performance0.2389
Total Risk Alpha(0.031478)
Sortino Ratio(0.01965)

CAC 40 Backtested Returns

CAC 40 retains Efficiency (Sharpe Ratio) of 0.11, which signifies that the index had 0.11% of return per unit of risk over the last 3 months. Our approach to foreseeing the 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 CAC 40, which you can use to evaluate future volatility of the entity. The entity owns a Beta (Systematic Risk) of 0.0, which signifies not very significant fluctuations relative to the market. Let's try to break down what CAC 40's beta means in this case. the returns on MARKET and CAC 40 are completely uncorrelated. Although it is extremely important to respect CAC 40 existing price patterns, it is better to be realistic regarding the information on equity price patterns. The approach to foreseeing 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 CAC 40 technical indicators, you can at this time evaluate if the expected return of 0.22% will be sustainable into the future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.24) 
correlation synergy

Weak reverse predictability

CAC 40 has weak reverse predictability. Overlapping area represents the amount of predictability between CAC 40 time series from 8th of April 2020 to 23rd of May 2020 and 23rd of May 2020 to 7th of July 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 CAC 40 price movement. The serial correlation of -0.24 indicates that over 24.0% 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-0.24
Spearman Rank Test-0.03
Residual Average0.0
Price Variance19094.68

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 Lagged Returns

 Regressed Prices 

Current Sentiment - FCHI

CAC 40 Investor Sentiment

Most of Macroaxis investors are at this time bullish on CAC 40. What is your opinion about investing in France companies? Are you bullish or bearish on CAC 40?
98% Bullish
2% Bearish

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Check out 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. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page