Lindsell Train (Ireland) Backtesting

F0GBR04FKP -- Ireland Fund  

JPY 491.01  13.86  2.75%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Lindsell Train Japanese Eq A Yen and determine expected loss or profit from investing in Lindsell Train over given investment horizon. Additionally see Lindsell Train Hype Analysis, Lindsell Train Correlation, Portfolio Optimization, Lindsell Train Volatility as well as analyze Lindsell Train Alpha and Beta and Lindsell Train Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Lindsell Train 'What if' Analysis

June 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 19, 2018
0.00
If you would invest  0.00  in Lindsell Train on June 19, 2018 and sell it all today you would earn a total of 0.00 from holding Lindsell Train Japanese Eq A Yen or generate 0.0% return on investment in Lindsell Train over 30 days. To maximise total return over the longer term from a well-diversified portfolio of equities, primarily quoted on stock m...

Lindsell Train Upside/Downside Indicators

Information Ratio0.37
Maximum Drawdown2.12
Value At Risk1.53
Potential Upside0.5853
  

Lindsell Train Market Premium Indicators

Risk Adjusted Performance0.1
Jensen Alpha0.07
Total Risk Alpha0.19
Treynor Ratio0.4641

Lindsell Train Japanese Backtested Returns

Macroaxis considers Lindsell Train to be not too risky. Lindsell Train Japanese has Sharpe Ratio of -0.2468 which conveys that Lindsell Train Japanese had -0.2468% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Lindsell Train exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Lindsell Train Japanese Eq A Yen Mean Deviation of 0.31 and Risk Adjusted Performance of 0.1 to check out risk estimate we provide. The fund secures Beta (Market Risk) of -0.2037 which conveys that as returns on market increase, returns on owning Lindsell Train are expected to decrease at a much smaller rate. During bear market, Lindsell Train is likely to outperform the market.. Even though it is essential to pay attention to Lindsell Train Japanese price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Lindsell Train exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.93) 

Near perfect reversele predictability

Lindsell Train Japanese Eq A Yen has near perfect reversele predictability. Overlapping area represents the amount of predictability between Lindsell Train time series from June 19, 2018 to July 4, 2018 and July 4, 2018 to July 19, 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 Lindsell Train Japanese price movement. The serial correlation of -0.93 indicates that approximately 93.0% of current Lindsell Train price fluctuation can be explain by its past prices. Given that Lindsell Train Japanese Eq A Yen has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Lindsell Train for similar time interval.
Correlation Coefficient -0.93
Spearman Rank Test -0.5
Price Variance 10.04
Lagged Price Variance 99.61

Lindsell Train Japanese lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Lindsell Train regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Lindsell Train Lagged Returns

 Regressed Prices 
      Timeline 

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Additionally see Lindsell Train Hype Analysis, Lindsell Train Correlation, Portfolio Optimization, Lindsell Train Volatility as well as analyze Lindsell Train Alpha and Beta and Lindsell Train Performance. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.