Seoul Comp Backtested Returns
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1482 which indicates Seoul Comp
had 0.1482% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 technical indicators
for Seoul Comp which you can use to evaluate future volatility of the index. The entity has beta of 0.0 which indicates the returns on MARKET and Seoul Comp are completely uncorrelated. Although it is extremely important to respect Seoul Comp
current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Seoul Comp technical indicators
you can presently evaluate if the expected return of 0.0692% will be sustainable into the future.
|15 days auto-correlation||(0.48) |
Modest reverse predictability
Seoul Comp has modest reverse predictability. Overlapping area represents the amount of predictability between Seoul Comp time series from October 23, 2017 to November 7, 2017 and November 7, 2017 to November 22, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Seoul Comp price movement. The serial correlation of -0.48 indicates that about 48.0% of current Seoul Comp price fluctuation can be explain by its past prices. Given that Seoul Comp has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Seoul Comp for similar time interval.
|Correlation Coefficient|| -0.48|
|Spearman Rank Test|| -0.27|
|Price Variance|| 98.51|
|Lagged Price Variance|| 827.58|
Seoul Comp Lagged Returns