MerVal (Argentina) Backtesting

MerVal -- Argentina Index  

 34,049  451.14  1.34%

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

MerVal 'What if' Analysis

December 20, 2017
No Change 0.00  0.0%
In 31 days
January 19, 2018
If you would invest  0.00  in MerVal on December 20, 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 0.7442 which conveys that MerVal had 0.7442% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing MerVal technical indicators you can presently evaluate if the expected return of 0.8885% 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-one technical indicators for MerVal which you can use to evaluate performance of the organization.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.86 

Very good predictability

MerVal has very good predictability. Overlapping area represents the amount of predictability between MerVal time series from December 20, 2017 to January 4, 2018 and January 4, 2018 to January 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 0.86 indicates that approximately 86.0% of current MerVal price fluctuation can be explain by its past prices.
Correlation Coefficient 0.86
Spearman Rank Test 0.77
Price Variance 630461.68
Lagged Price Variance 1405172.89

MerVal Lagged Returns

 Regressed Prices 

MerVal Performance vs MerVal

The median price of MerVal for the period between Wed, Dec 20, 2017 and Fri, Jan 19, 2018 is 31632.36 with a coefficient of variation of 6.23. The daily time series for the period is distributed with a sample standard deviation of 1935.92, arithmetic mean of 31094.9, and mean deviation of 1653.8. The Index did not receive any noticable media coverage during the period.
Price Growth (%)