DOW secures Sharpe Ratio (or Efficiency) of 0.2442 which denotes the index had 0.2442% of return per unit of volatility over the last 2 months. Our approach towards 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 DOW which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and DOW are completely uncorrelated. Although it is extremely important to respect DOW historical returns, it is better to be realistic regarding the information on equity current trending patterns. The approach towards 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 evaluating DOWtechnical indicators you can now evaluate if the expected return of 0.153% will be sustainable into the future.
DOW has modest reverse predictability. Overlapping area represents the amount of predictability between DOW time series from January 20, 2019 to February 19, 2019 and February 19, 2019 to March 21, 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 DOW price movement. The serial correlation of -0.42 indicates that just about 42.0% of current DOW price fluctuation can be explain by its past prices. Given that DOW has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of DOW for similar time interval.
Spearman Rank Test
DOW lagged returns against current returns
Current and Lagged Values
DOW regressed lagged prices vs. current prices
Current vs Lagged Prices
DOW Lagged Returns
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