retains Efficiency (Sharpe Ratio) of 0.0472 which signifies that CAC 40
had 0.0472% of return per unit of risk over the last 1 month. Our approach to foreseeing 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-one technical indicators
for CAC 40 which you can use to evaluate future volatility of the entity. The entity owns Beta (Systematic Risk) of 0.0 which signifies that the returns on MARKET and CAC 40 are completely uncorrelated. Although it is extremely important to respect CAC 40
existing price patterns
, it is better to be realistic regarding the information on equity price patterns
. The approach to foreseeing 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 CAC 40 technical indicators
you can at this time evaluate if the expected return of 0.0481% will be sustainable into the future.
|15 days auto-correlation||(0.76) |
Almost perfect reverse predictability
CAC 40 has almost perfect reverse predictability. Overlapping area represents the amount of predictability between CAC 40 time series from August 25, 2018 to September 9, 2018 and September 9, 2018 to September 24, 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 CAC 40 price movement. The serial correlation of -0.76 indicates that around 76.0% of current CAC 40 price fluctuation can be explain by its past prices. Given that CAC 40 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of CAC 40 for similar time interval.
|Spearman Rank Test||-0.81|