Israel Index Backtested Returns
holds Efficiency (Sharpe) Ratio of -0.1811 which attests that Israel Index
had -0.1811% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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
. Israel Index exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Israel Index are completely uncorrelated. Even though it is essential to pay attention to Israel Index
current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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
. Israel Index exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.44) |
Modest reverse predictability
Israel Index has modest reverse predictability. Overlapping area represents the amount of predictability between Israel Index time series from January 19, 2018 to February 3, 2018 and February 3, 2018 to February 18, 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 Israel Index price movement. The serial correlation of -0.44 indicates that just about 44.0% of current Israel Index price fluctuation can be explain by its past prices. Given that Israel Index has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Israel Index for similar time interval.
|Correlation Coefficient|| -0.44|
|Spearman Rank Test|| -0.38|
|Price Variance|| 205.77|
|Lagged Price Variance|| 44.36|
Israel Index Lagged Returns