FTSE MIB Backtested Returns
secures Sharpe Ratio (or Efficiency) of -0.0831 which denotes FTSE MIB
had -0.0831% of return per unit of volatility over the last 1 month. Macroaxis approach towards predicting 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
. FTSE MIB exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. 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. Even though it is essential to pay attention to FTSE MIB
historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards predicting 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
. FTSE MIB exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.88) |
Excellent reverse predictability
FTSE MIB has excellent reverse predictability. Overlapping area represents the amount of predictability between FTSE MIB time series from October 20, 2017 to November 4, 2017 and November 4, 2017 to November 19, 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 FTSE MIB price movement. The serial correlation of -0.88 indicates that approximately 88.0% 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|| -0.88|
|Spearman Rank Test|| -0.89|
|Price Variance|| 100978.67|
|Lagged Price Variance|| 49485.36|
FTSE MIB Lagged Returns