Russell 2000 Backtested Returns
maintains Sharpe Ratio (i.e. Efficiency) of -0.134 which implies Russell 2000
had -0.134% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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
. Russell 2000 exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. The index holds Beta of 0.0 which implies the returns on MARKET and Russell 2000 are completely uncorrelated. Even though it is essential to pay attention to Russell 2000
current trending patterns, it is always good to be careful when utilizing equity existing price patterns
. Macroaxis philosophy towards forecasting 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
. Russell 2000 exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.74) |
Almost perfect reverse predictability
Russell 2000 has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Russell 2000 time series from January 20, 2018 to February 4, 2018 and February 4, 2018 to February 19, 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 Russell 2000 price movement. The serial correlation of -0.74 indicates that around 74.0% of current Russell 2000 price fluctuation can be explain by its past prices. Given that Russell 2000 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Russell 2000 for similar time interval.
|Correlation Coefficient|| -0.74|
|Spearman Rank Test|| -0.56|
|Price Variance|| 653.12|
|Lagged Price Variance|| 1138.31|
Russell 2000 Lagged Returns