secures Sharpe Ratio (or Efficiency) of 0.0296 which denotes the index had 0.0296% of return per unit of volatility over the last 3 months. Our way of predicting volatility of an index is to use all available market data together with index specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for DAX which you can use to evaluate future volatility of the entity. The entity shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and DAX are completely uncorrelated. Although it is extremely important to respect DAX
historical returns, it is better to be realistic regarding the information on equity current trending patterns. The way of 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 examining DAX technical indicators
you can today evaluate if the expected return of 0.0267% will be sustainable into the future.
Good reverse predictability
DAX has good reverse predictability. Overlapping area represents the amount of predictability between DAX time series from June 24, 2019 to August 8, 2019 and August 8, 2019 to September 22, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of DAX price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current DAX price fluctuation can be explain by its past prices. Given that DAX has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of DAX for similar time interval.