MerVal (Argentina) Backtesting

MERV -- Argentina Index  

 36,562  1,119  3.16%

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

MerVal 'What if' Analysis

September 8, 2019
No Change 0.00  0.0 
In 2 months and 31 days
December 7, 2019
If you would invest  0.00  in MerVal on September 8, 2019 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 90 days.

MerVal Upside/Downside Indicators

Downside Deviation3.68
Information Ratio0.1198
Maximum Drawdown16.51
Value At Risk(6.04)
Potential Upside4.78

MerVal Market Premium Indicators

Risk Adjusted Performance0.0938
Total Risk Alpha0.1142
Sortino Ratio0.1084

MerVal Backtested Returns

MerVal has Sharpe Ratio of 0.1532 which conveys that the entity had 0.1532% of return per unit of risk over the last 3 months. Our philosophy towards estimating volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. By analyzing MerVal technical indicators you can presently evaluate if the expected return of 0.5127% is justified by implied risk. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and MerVal are completely uncorrelated. Although it is vital to follow to MerVal price patterns, it is good to be conservative about what you can actually do with the information regarding equity historical price patterns. The philosophy towards estimating 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. We have found twenty-eight technical indicators for MerVal which you can use to evaluate performance of the organization.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.03 
correlation synergy

Virtually no predictability

MerVal has virtually no predictability. Overlapping area represents the amount of predictability between MerVal time series from September 8, 2019 to October 23, 2019 and October 23, 2019 to December 7, 2019. 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 0.03 indicates that only 3.0% of current MerVal price fluctuation can be explain by its past prices.
Correlation Coefficient0.03
Spearman Rank Test-0.16
Residual Average0.0
Price Variance2434824.0

MerVal lagged returns against current returns

 Current and Lagged Values 

MerVal regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MerVal Lagged Returns

 Regressed Prices 

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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 Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.