FTSE MIB Backtested Returns
secures Sharpe Ratio (or Efficiency) of 0.3518 which denotes FTSE MIB
had 0.3518% of return per unit of volatility over the last 1 month. Our approach towards predicting 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 FTSE MIB which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and FTSE MIB are completely uncorrelated. Although it is vital to follow to FTSE MIB
historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The approach towards predicting 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 FTSE MIB technical indicators
you can now evaluate if the expected return of 0.3012% will be sustainable into the future.
|15 days auto-correlation||(0.77) |
Almost perfect reverse predictability
FTSE MIB has almost perfect reverse predictability. Overlapping area represents the amount of predictability between FTSE MIB time series from December 19, 2017 to January 3, 2018 and January 3, 2018 to January 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 FTSE MIB price movement. The serial correlation of -0.77 indicates that around 77.0% of current FTSE MIB price fluctuation can be explain by its past prices. Given that FTSE MIB has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of FTSE MIB for similar time interval.
|Correlation Coefficient|| -0.77|
|Spearman Rank Test|| -0.78|
|Price Variance|| 217684.81|
|Lagged Price Variance|| 26082.53|
FTSE MIB Lagged Returns