maintains Sharpe Ratio (i.e. Efficiency) of 0.0158 which implies OMXRGI
had 0.0158% of return per unit of standard deviation over the last 1 month. Our philosophy towards forecasting 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 OMXRGI which you can use to evaluate future volatility of the index. The index holds Beta of 0.0 which implies the returns on MARKET and OMXRGI are completely uncorrelated. Although it is extremely important to respect OMXRGI
current trending patterns, it is better to be realistic regarding the information on equity existing price patterns
. The philosophy towards forecasting 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 OMXRGI technical indicators
you can currently evaluate if the expected return of 0.0124% will be sustainable into the future.
|15 days auto-correlation||(0.19) |
Insignificant reverse predictability
OMXRGI has insignificant reverse predictability. Overlapping area represents the amount of predictability between OMXRGI time series from May 19, 2018 to June 3, 2018 and June 3, 2018 to June 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 OMXRGI price movement. The serial correlation of -0.19 indicates that over 19.0% of current OMXRGI price fluctuation can be explain by its past prices. Given that OMXRGI has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of OMXRGI for similar time interval.
|Correlation Coefficient|| -0.19|
|Spearman Rank Test|| 0.41|
|Price Variance|| 64.09|
|Lagged Price Variance|| 75.14|