Vale S A Backtested Returns
Macroaxis considers Vale S to be not very volatile. Vale S A
owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1598 which indicates Vale S A
had -0.1598% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. Vale S A exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vale S Coefficient Of Variation
of 707.58 and Risk Adjusted Performance of 0.14 to confirm risk estimate we provide. Macroaxis gives Vale S performance score of 0 on a scale of 0 to 100. The entity has beta of -0.9687 which indicates . Even though it is essential to pay attention to Vale S A current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Vale S A exposes twenty-eight different technical indicators which can help you to evaluate its performance. Vale S A has expected return of -0.3435%. Please be advised to validate Vale S Downside Variance, and the relationship between Treynor Ratio and Kurtosis to decide if Vale S A past performance will be repeated at some point in the near future.
|15 days auto-correlation|| 0.66 |
Vale S A has good predictability. Overlapping area represents the amount of predictability between Vale S time series from February 20, 2018 to March 7, 2018 and March 7, 2018 to March 22, 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 Vale S A price movement. The serial correlation of 0.66 indicates that around 66.0% of current Vale S price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.66|
|Spearman Rank Test|| 0.19|
|Price Variance|| 0.04|
|Lagged Price Variance|| 0.19|
Vale S Lagged Returns