owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0215 which indicates the organization had 0.0215% of return per unit of risk over the last 3 months. Our philosophy towards measuring 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 Shanghai which you can use to evaluate future volatility of the index. The entity has beta of 0.0 which indicates the returns on MARKET and Shanghai are completely uncorrelated. Although it is extremely important to respect Shanghai
current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Shanghai technical indicators
you can presently evaluate if the expected return of 0.0182% will be sustainable into the future.
Almost perfect reverse predictability
Shanghai has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Shanghai time series from June 20, 2019 to August 4, 2019 and August 4, 2019 to September 18, 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 Shanghai price movement. The serial correlation of -0.71 indicates that around 71.0% of current Shanghai price fluctuation can be explain by its past prices. Given that Shanghai has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Shanghai for similar time interval.