retains Efficiency (Sharpe Ratio) of 0.1775 which attests that IPC
had 0.1775% of return per unit of return volatility over the last 1 month. Our approach to determining volatility of a index is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-eight technical indicators
for IPC which you can use to evaluate future volatility of the entity. The index owns Beta (Systematic Risk) of 0.0 which attests that the returns on MARKET and IPC are completely uncorrelated. Although it is extremely important to respect IPC
existing price patterns
, it is better to be realistic regarding the information on equity price patterns
. The approach to determining 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
. By reviewing IPC technical indicators
you can today evaluate if the expected return of 0.1328% will be sustainable into the future.
|15 days auto-correlation||(0.41) |
Modest reverse predictability
IPC has modest reverse predictability. Overlapping area represents the amount of predictability between IPC time series from June 17, 2018 to July 2, 2018 and July 2, 2018 to July 17, 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 IPC price movement. The serial correlation of -0.41 indicates that just about 41.0% of current IPC price fluctuation can be explain by its past prices. Given that IPC has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of IPC for similar time interval.
|Correlation Coefficient|| -0.41|
|Spearman Rank Test|| 0.71|
|Price Variance|| 35297.01|
|Lagged Price Variance|| 193632.17|