Horizon Kinetics ISE Backtested Returns
Horizon Kinetics ISE
holds Efficiency (Sharpe) Ratio of 0.2278 which attests that Horizon Kinetics ISE
had 0.2278% of return per unit of risk over the last 1 month. Our philosophy towards determining 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 Horizon Kinetics ISE which you can use to evaluate future volatility of the entity. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Horizon Kinetics are completely uncorrelated. Although it is extremely important to respect Horizon Kinetics ISE
current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Horizon Kinetics ISE technical indicators
you can presently evaluate if the expected return of 0.0894% will be sustainable into the future.
|15 days auto-correlation|| 0.51 |
Horizon Kinetics ISE Global Wea has modest predictability. Overlapping area represents the amount of predictability between Horizon Kinetics time series from October 26, 2017 to November 10, 2017 and November 10, 2017 to November 25, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Horizon Kinetics ISE price movement. The serial correlation of 0.51 indicates that about 51.0% of current Horizon Kinetics price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.51|
|Spearman Rank Test|| 0.35|
|Price Variance|| 2.16|
|Lagged Price Variance|| 0.56|
Horizon Kinetics Lagged Returns