MerVal (Argentina) Backtesting

MERV -- Argentina Index  

 26,264  780.81  2.89%

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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

MerVal 'What if' Analysis

June 19, 2018
0.00
No Change 0.00  0.0%
In 30 days
July 19, 2018
0.00
If you would invest  0.00  in MerVal on June 19, 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

Downside Deviation1.49
Information Ratio0.0518
Maximum Drawdown9.03
Value At Risk1.46
Potential Upside2.25
  

MerVal Market Premium Indicators

Risk Adjusted Performance0.0814
Total Risk Alpha0.16
Sortino Ratio0.0651

MerVal Backtested Returns

MerVal has Sharpe Ratio of -0.077 which conveys that MerVal had -0.077% 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 0.75 

Good predictability

MerVal has good predictability. Overlapping area represents the amount of predictability between MerVal time series from June 19, 2018 to July 4, 2018 and July 4, 2018 to July 19, 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 0.75 indicates that around 75.0% of current MerVal price fluctuation can be explain by its past prices.
Correlation Coefficient 0.75
Spearman Rank Test 0.56
Price Variance 302478.06
Lagged Price Variance 3429551.33

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 Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.