MerVal (Argentina) Backtesting

MERV -- Argentina Index  

 34,379  102.78  0.30%

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

March 25, 2019
No Change 0.00  0.0%
In 2 months and 1 day
May 24, 2019
If you would invest  0.00  in MerVal on March 25, 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 60 days.

MerVal Upside/Downside Indicators

Downside Deviation2.78
Information Ratio0.0113
Maximum Drawdown10.07
Value At Risk(3.91)
Potential Upside3.16

MerVal Market Premium Indicators

Risk Adjusted Performance0.0149
Total Risk Alpha0.0494
Sortino Ratio0.0095

MerVal Backtested Returns

MerVal has Sharpe Ratio of 0.0489 which conveys that the entity had 0.0489% of return per unit of risk over the last 2 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 extremely important to respect MerVal price patterns, it is better to be realistic regarding the information on 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 0.1145% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.65) 
correlation synergy

Very good reverse predictability

MerVal has very good reverse predictability. Overlapping area represents the amount of predictability between MerVal time series from March 25, 2019 to April 24, 2019 and April 24, 2019 to May 24, 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 -0.65 indicates that roughly 65.0% of current MerVal price fluctuation can be explain by its past prices. Given that MerVal has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MerVal for similar time interval.
Correlation Coefficient-0.65
Spearman Rank Test-0.69
Residual Average0.0
Price Variance3305456.27

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 

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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.