MerVal (Argentina) Backtesting

MERV -- Argentina Index  

 30,407  632.65  2.12%

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

June 21, 2019
0.00
No Change 0.00  0.0%
In 2 months and 1 day
August 20, 2019
0.00
If you would invest  0.00  in MerVal on June 21, 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 60 days.

MerVal Upside/Downside Indicators

Information Ratio(0.07)
Maximum Drawdown45.87
Value At Risk(3.50)
Potential Upside5.26

MerVal Market Premium Indicators

Risk Adjusted Performance(0.06)
Total Risk Alpha(0.23)

MerVal Backtested Returns

MerVal has Sharpe Ratio of -0.0703 which conveys that the entity had -0.0703% of return per unit of risk over the last 2 months. 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 0.11 
correlation synergy

Insignificant predictability

MerVal has insignificant predictability. Overlapping area represents the amount of predictability between MerVal time series from June 21, 2019 to July 21, 2019 and July 21, 2019 to August 20, 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 0.11 indicates that less than 11.0% of current MerVal price fluctuation can be explain by its past prices.
Correlation Coefficient0.11
Spearman Rank Test-0.12
Residual Average0.0
Price Variance2.805466733E7

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
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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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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