owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0693 which indicates SP 500
had -0.0693% of return per unit of standard deviation over the last 2 months. Macroaxis way of measuring 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
. S&P 500 exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. The entity has beta of 0.0 which indicates the returns on MARKET and SP 500 are completely uncorrelated. Even though it is essential to pay attention to SP 500
current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis way of measuring 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
. S&P 500 exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.25) |
Weak reverse predictability
S&P 500 has weak reverse predictability. Overlapping area represents the amount of predictability between SP 500 time series from February 25, 2018 to March 27, 2018 and March 27, 2018 to April 26, 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 SP 500 price movement. The serial correlation of -0.25 indicates that over 25.0% of current SP 500 price fluctuation can be explain by its past prices. Given that S&P 500 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of SP 500 for similar time interval.
|Correlation Coefficient|| -0.25|
|Spearman Rank Test|| -0.17|
|Price Variance|| 1342.56|
|Lagged Price Variance|| 3927.68|