Hang Seng holds Efficiency (Sharpe) Ratio of 0.0461 which attests that
Hang Seng had 0.0461% of return per unit of risk over the last 1 month. Our philosophy towards determining 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-eight
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 extremely important to respect
Hang Seng current price history, it is better to be realistic regarding the information on 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 0.0808% will be sustainable into the future.
| 15 days auto-correlation | (0.01) |
Very weak reverse predictability
Hang Seng has very weak reverse predictability. Overlapping area represents the amount of predictability between Hang Seng time series from October 14, 2018 to October 29, 2018 and October 29, 2018 to November 13, 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 -0.01 indicates that just 1.0% of current Hang Seng price fluctuation can be explain by its past prices. Given that Hang Seng has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Hang Seng for similar time interval.
| Correlation Coefficient | -0.01 |
| Spearman Rank Test | -0.63 |
| Residual Average | 0.0 |
| Price Variance | 381414.87 |
