has Sharpe Ratio of -0.1 which conveys that MerVal
had -0.1% 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.
|15 days auto-correlation|| 0.72 |
MerVal has good predictability. Overlapping area represents the amount of predictability between MerVal time series from February 24, 2018 to March 26, 2018 and March 26, 2018 to April 25, 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 0.72 indicates that around 72.0% of current MerVal price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.72|
|Spearman Rank Test|| 0.33|
|Price Variance|| 186262.45|
|Lagged Price Variance|| 346220.61|