MerVal (Argentina) Backtesting

MERV -- Argentina Index  

 31,020  1,321  4.08%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MerVal and determine expected loss or profit from investing in MerVal over given investment horizon. See also MerVal Hype Analysis, MerVal Correlation, Portfolio Optimization, MerVal Volatility as well as analyze MerVal Alpha and Beta and MerVal Performance.
Horizon     30 Days    Login   to change

MerVal 'What if' Analysis

August 17, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 15, 2019
If you would invest  0.00  in MerVal on August 17, 2019 and sell it all today you would earn a total of 0.00 from holding MerVal or generate 0.0% return on investment in MerVal over 90 days.

MerVal Upside/Downside Indicators

Downside Deviation4.52
Information Ratio0.0101
Maximum Drawdown18.34
Value At Risk(6.04)
Potential Upside5.09

MerVal Market Premium Indicators

Risk Adjusted Performance0.0405
Total Risk Alpha(0.50)
Sortino Ratio0.0088

MerVal Backtested Returns

MerVal has Sharpe Ratio of 0.0737 which conveys that the entity had 0.0737% of return per unit of risk over the last 3 months. Our philosophy towards estimating 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-eight technical indicators for MerVal which you can use to evaluate future volatility of the organization. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and MerVal are completely uncorrelated. Although it is vital to follow to MerVal price patterns, it is good to be conservative about what you can actually do with the information regarding equity historical price patterns. The philosophy towards estimating 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 MerVal technical indicators you can presently evaluate if the expected return of 0.2778% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.60 
correlation synergy

Good predictability

MerVal has good predictability. Overlapping area represents the amount of predictability between MerVal time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 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 MerVal price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current MerVal price fluctuation can be explain by its past prices.
Correlation Coefficient0.6
Spearman Rank Test0.62
Residual Average0.0
Price Variance3853499.53

MerVal lagged returns against current returns

 Current and Lagged Values 

MerVal regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MerVal Lagged Returns

 Regressed Prices 

Current Sentiment - MERV

MerVal Investor Sentiment

Most of Macroaxis investors are at this time bullish on MerVal. What is your trading attitude regarding investing in Argentina companies? Are you bullish or bearish on MerVal?
98% Bullish
2% Bearish

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See also MerVal Hype Analysis, MerVal Correlation, Portfolio Optimization, MerVal Volatility as well as analyze MerVal Alpha and Beta and MerVal Performance. Please also try Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.