MerVal (Argentina) Backtesting

MerVal -- Argentina Index  

 26,313  701.67  2.74%

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
Investment Horizon     30 Days    Login   to change

MerVal 'What if' Analysis

October 18, 2017
No Change 0.00  0.0%
In 31 days
November 17, 2017
If you would invest  0.00  in MerVal on October 18, 2017 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 is entity of Argentina. It is traded as Index on Index exchange.

MerVal Upside/Downside Indicators


MerVal Market Premium Indicators

MerVal lagged returns against current returns

 Current and Lagged Values 

MerVal regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MerVal Backtested Returns

MerVal has Sharpe Ratio of 0.2132 which conveys that MerVal had 0.2132% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a index is to use MerVal market data together with company specific technical indicators. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 4.192441834933535E13% are justified by taking the suggested 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 essential to pay attention to MerVal price patterns, it is also good to be reasonable about what you can actually do with equity historical price patterns. Macroaxis philosophy towards estimating future performance of any index is to look not only at its past charts but also at the business as a whole, including all available fundamental and technical indicators. To evaluate if MerVal expected return of 4.192441834933535E13 will be sustainable into the future, we have found twenty-one different technical indicators which can help you to check if the expected returns are sustainable.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.26 

Poor predictability

MerVal has poor predictability. Overlapping area represents the amount of predictability between MerVal time series from October 18, 2017 to November 2, 2017 and November 2, 2017 to November 17, 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 MerVal price movement. The serial correlation of 0.26 indicates that nearly 26.0% of current MerVal price fluctuation can be explain by its past prices.
Correlation Coefficient 0.26
Spearman Rank Test -0.15
Price Variance 6.189204195E7
Lagged Price Variance 311534.73

MerVal Lagged Returns

 Regressed Prices 

MerVal Performance vs MerVal

The median price of MerVal for the period between Wed, Oct 18, 2017 and Fri, Nov 17, 2017 is 27782.6 with a coefficient of variation of 22.51. The daily time series for the period is distributed with a sample standard deviation of 5879.26, arithmetic mean of 26123.35, and mean deviation of 2421.43. The Index did not receive any noticable media coverage during the period.
Price Growth (%)