owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0088 which indicates SP 500
had -0.0088% of return per unit of standard deviation over the last 1 month. 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-eight 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-eight different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.70) |
Very good reverse predictability
S&P 500 has very good reverse predictability. Overlapping area represents the amount of predictability between SP 500 time series from October 13, 2018 to October 28, 2018 and October 28, 2018 to November 12, 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 -0.7 indicates that around 70.0% 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.
|Spearman Rank Test||-0.86|