DAX (Germany) Backtesting

GDAXI -- Germany Index  

 12,169  25.27  0.21%

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

DAX 'What if' Analysis

March 23, 2019
No Change 0.00  0.0%
In 2 months and 2 days
May 22, 2019
If you would invest  0.00  in DAX on March 23, 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 60 days.

DAX Upside/Downside Indicators

Downside Deviation0.9663
Information Ratio0.065
Maximum Drawdown3.36
Value At Risk(1.58)
Potential Upside1.35

DAX Market Premium Indicators

Risk Adjusted Performance0.0589
Total Risk Alpha0.0542
Sortino Ratio0.057

DAX Backtested Returns

DAX secures Sharpe Ratio (or Efficiency) of 0.2243 which denotes the index had 0.2243% of return per unit of volatility over the last 2 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-eight 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 0.1781% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.44) 
correlation synergy

Modest reverse predictability

DAX has modest reverse predictability. Overlapping area represents the amount of predictability between DAX time series from March 23, 2019 to April 22, 2019 and April 22, 2019 to May 22, 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 -0.44 indicates that just about 44.0% 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-0.44
Spearman Rank Test-0.53
Residual Average0.0
Price Variance18911.38

DAX lagged returns against current returns

 Current and Lagged Values 

DAX regressed lagged prices vs. current prices

 Current vs Lagged Prices 

DAX Lagged Returns

 Regressed Prices 

Current Sentiment - GDAXI

DAX Investor Sentiment

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

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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 Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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