has Sharpe Ratio of -0.0161 which conveys that NYSE
had -0.0161% of return per unit of standard deviation 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
. NYSE 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 NYSE are completely uncorrelated. Even though it is essential to pay attention to NYSE 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
. NYSE exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.22) |
Weak reverse predictability
NYSE has weak reverse predictability. Overlapping area represents the amount of predictability between NYSE time series from February 20, 2018 to March 22, 2018 and March 22, 2018 to April 21, 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 NYSE price movement. The serial correlation of -0.22 indicates that over 22.0% of current NYSE price fluctuation can be explain by its past prices. Given that NYSE has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NYSE for similar time interval.
|Correlation Coefficient|| -0.22|
|Spearman Rank Test|| -0.12|
|Price Variance|| 32193.71|
|Lagged Price Variance|| 17805.29|