NIKKEI 225 (Japan) Backtesting

N225 -- Japan Index  

 23,303  161.77  0.70%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NIKKEI 225 and determine expected loss or profit from investing in NIKKEI 225 over given investment horizon. See also NIKKEI 225 Hype Analysis, NIKKEI 225 Correlation, Portfolio Optimization, NIKKEI 225 Volatility as well as analyze NIKKEI 225 Alpha and Beta and NIKKEI 225 Performance.
Horizon     30 Days    Login   to change

NIKKEI 225 'What if' Analysis

August 17, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 15, 2019
If you would invest  0.00  in NIKKEI 225 on August 17, 2019 and sell it all today you would earn a total of 0.00 from holding NIKKEI 225 or generate 0.0% return on investment in NIKKEI 225 over 90 days.

NIKKEI 225 Upside/Downside Indicators

Downside Deviation0.8806
Information Ratio0.0747
Maximum Drawdown4.12
Value At Risk(0.85)
Potential Upside1.2

NIKKEI 225 Market Premium Indicators

Risk Adjusted Performance0.1852
Total Risk Alpha0.0528
Sortino Ratio0.0637

NIKKEI 225 Backtested Returns

NIKKEI 225 has Sharpe Ratio of 0.26 which conveys that the entity had 0.26% of return per unit of volatility over the last 3 months. Our approach towards estimating 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-seven technical indicators for NIKKEI 225 which you can use to evaluate future volatility of the organization. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and NIKKEI 225 are completely uncorrelated. Although it is extremely important to respect NIKKEI 225 price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach towards estimating 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 inspecting NIKKEI 225 technical indicators you can now evaluate if the expected return of 0.1934% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.92 
correlation synergy

Excellent predictability

NIKKEI 225 has excellent predictability. Overlapping area represents the amount of predictability between NIKKEI 225 time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 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 NIKKEI 225 price movement. The serial correlation of 0.92 indicates that approximately 92.0% of current NIKKEI 225 price fluctuation can be explain by its past prices.
Correlation Coefficient0.92
Spearman Rank Test0.85
Residual Average0.0
Price Variance490477.56

NIKKEI 225 lagged returns against current returns

 Current and Lagged Values 

NIKKEI 225 regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NIKKEI 225 Lagged Returns

 Regressed Prices 

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See also NIKKEI 225 Hype Analysis, NIKKEI 225 Correlation, Portfolio Optimization, NIKKEI 225 Volatility as well as analyze NIKKEI 225 Alpha and Beta and NIKKEI 225 Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.