retains Efficiency (Sharpe Ratio) of -0.2977 which signifies that CAC 40
had -0.2977% of return per unit of risk over the last 1 month. Macroaxis approach to foreseeing 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
. CAC 40 exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. The entity owns Beta (Systematic Risk) of 0.0 which signifies that the returns on MARKET and CAC 40 are completely uncorrelated. Even though it is essential to pay attention to CAC 40
existing price patterns
, it is always good to be careful when utilizing equity price patterns
. Macroaxis approach to foreseeing 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
. CAC 40 exposes twenty-eight different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.02) |
Very weak reverse predictability
CAC 40 has very weak reverse predictability. Overlapping area represents the amount of predictability between CAC 40 time series from May 22, 2018 to June 6, 2018 and June 6, 2018 to June 21, 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 -0.02 indicates that only 2.0% 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.
|Correlation Coefficient|| -0.02|
|Spearman Rank Test|| -0.25|
|Price Variance|| 2438.9|
|Lagged Price Variance|| 3603.38|