holds Efficiency (Sharpe) Ratio of 0.0171 which attests that the entity had 0.0171% of return per unit of return volatility over the last 3 months. Our way of determining 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 ISEQ 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 ISEQ are completely uncorrelated. Although it is extremely important to respect ISEQ
current price history, it is better to be realistic regarding the information on equity current price movements. The way of 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 analyzing ISEQ technical indicators
you can now evaluate if the expected return of 0.0191% will be sustainable into the future.
Poor reverse predictability
ISEQ has poor reverse predictability. Overlapping area represents the amount of predictability between ISEQ 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 ISEQ price movement. The serial correlation of -0.4 indicates that just about 40.0% of current ISEQ price fluctuation can be explain by its past prices. Given that ISEQ has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ISEQ for similar time interval.