EURONEXT BEL-20 Backtested Returns
secures Sharpe Ratio (or Efficiency) of -0.1486 which denotes EURONEXT BEL-20
had -0.1486% of return per unit of volatility over the last 1 month. Macroaxis approach towards predicting risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. EURONEXT BEL-20 exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and EURONEXT BEL-20 are completely uncorrelated. Even though it is essential to pay attention to EURONEXT BEL-20
historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards predicting future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators
. EURONEXT BEL-20 exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.48) |
Modest reverse predictability
EURONEXT BEL-20 has modest reverse predictability. Overlapping area represents the amount of predictability between EURONEXT BEL-20 time series from October 25, 2017 to November 9, 2017 and November 9, 2017 to November 24, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of EURONEXT BEL-20 price movement. The serial correlation of -0.48 indicates that about 48.0% of current EURONEXT BEL-20 price fluctuation can be explain by its past prices. Given that EURONEXT BEL-20 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of EURONEXT BEL-20 for similar time interval.
|Correlation Coefficient|| -0.48|
|Spearman Rank Test|| -0.33|
|Price Variance|| 678.81|
|Lagged Price Variance|| 525.94|
EURONEXT BEL-20 Lagged Returns