Hang Seng Backtested Returns
holds Efficiency (Sharpe) Ratio of 0.8673 which attests that Hang Seng
had 0.8673% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a index is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for Hang Seng which you can use to evaluate future volatility of the entity. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Hang Seng are completely uncorrelated. Although it is vital to follow to Hang Seng
current price history, it is good to be conservative about what you can actually do with the information regarding equity current price movements. The philosophy towards determining 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 Hang Seng technical indicators
you can presently evaluate if the expected return of 0.4986% will be sustainable into the future.
|15 days auto-correlation|| 0.94 |
Hang Seng has excellent predictability. Overlapping area represents the amount of predictability between Hang Seng time series from December 20, 2017 to January 4, 2018 and January 4, 2018 to January 19, 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 Hang Seng price movement. The serial correlation of 0.94 indicates that approximately 94.0% of current Hang Seng price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.94|
|Spearman Rank Test|| 0.98|
|Price Variance|| 116243.55|
|Lagged Price Variance|| 270127.35|
Hang Seng Lagged Returns