MerVal (Argentina) Backtesting

MERV -- Argentina Index  

 28,673  17.33  0.06%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MerVal and determine expected loss or profit from investing in MerVal over given investment horizon. See also MerVal Hype Analysis, MerVal Correlation, Portfolio Optimization, MerVal Volatility as well as analyze MerVal Alpha and Beta and MerVal Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

MerVal 'What if' Analysis

September 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 21, 2018
0.00
If you would invest  0.00  in MerVal on September 21, 2018 and sell it all today you would earn a total of 0.00 from holding MerVal or generate 0.0% return on investment in MerVal over 30 days.

MerVal Upside/Downside Indicators

Information Ratio0.19
Maximum Drawdown12.78
Value At Risk6.37
Potential Upside6.41
  

MerVal Market Premium Indicators

Risk Adjusted Performance0.26
Total Risk Alpha0.29

MerVal Backtested Returns

MerVal has Sharpe Ratio of -0.2398 which conveys that MerVal had -0.2398% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. MerVal exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and MerVal are completely uncorrelated. Even though it is essential to pay attention to MerVal price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating 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. MerVal exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.28 

Poor predictability

MerVal has poor predictability. Overlapping area represents the amount of predictability between MerVal time series from September 21, 2018 to October 6, 2018 and October 6, 2018 to October 21, 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 MerVal price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current MerVal price fluctuation can be explain by its past prices.
Correlation Coefficient0.28
Spearman Rank Test0.45
Residual Average0.0
Price Variance366492.26

MerVal lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MerVal regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MerVal Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - MERV

MerVal Investor Sentiment

Most of Macroaxis investors are at this time bullish on MerVal. What is your trading attitude regarding investing in Argentina companies? Are you bullish or bearish on MerVal?
Bullish
Bearish
98% Bullish
2% Bearish
Skip

Also Currentnly Active

Purchased over 300 shares of
2 hours ago
Traded for 8.51
Purchased over 40 shares of
2 hours ago
Traded for 68.62
Purchased over 100 shares of
2 hours ago
Traded for 29.29
See also MerVal Hype Analysis, MerVal Correlation, Portfolio Optimization, MerVal Volatility as well as analyze MerVal Alpha and Beta and MerVal Performance. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
Search macroaxis.com