Swiss Mrt Backtested Returns
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1002 which indicates Swiss Mrt
had 0.1002% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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-one technical indicators
for Swiss Mrt which you can use to evaluate future volatility of the index. The entity has beta of 0.0 which indicates the returns on MARKET and Swiss Mrt are completely uncorrelated. Although it is extremely important to respect Swiss Mrt
current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Swiss Mrt technical indicators
you can presently evaluate if the expected return of 0.0512% will be sustainable into the future.
|15 days auto-correlation||(0.38) |
Poor reverse predictability
Swiss Mrt has poor reverse predictability. Overlapping area represents the amount of predictability between Swiss Mrt time series from December 21, 2017 to January 5, 2018 and January 5, 2018 to January 20, 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 Swiss Mrt price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Swiss Mrt price fluctuation can be explain by its past prices. Given that Swiss Mrt has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Swiss Mrt for similar time interval.
|Correlation Coefficient|| -0.38|
|Spearman Rank Test|| -0.38|
|Price Variance|| 1579.53|
|Lagged Price Variance|| 3307.2|
Swiss Mrt Lagged Returns