Macroaxis considers CPSE ETF to be not too risky. CPSE ETF
secures Sharpe Ratio (or Efficiency) of -0.1263 which signifies that CPSE ETF
had -0.1263% of return per unit of volatility over the last 1 month. Macroaxis approach towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. CPSE ETF exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm CPSE ETF Risk Adjusted Performance
of 0.019821 and Mean Deviation of 0.7126 to double-check risk estimate we provide. Macroaxis gives CPSE ETF performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.2468 which signifies that as returns on market increase, CPSE ETF returns are expected to increase less than the market. However during bear market, the loss on holding CPSE ETF will be expected to be smaller as well.. Even though it is essential to pay attention to CPSE ETF historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. CPSE ETF exposes twenty-one different technical indicators which can help you to evaluate its performance. CPSE ETF has expected return of -0.1223%. Please be advised to confirm CPSE ETF Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to decide if CPSE ETF past performance will be repeated at future time.
|15 days auto-correlation||(0.68) |
Very good reverse predictability
CPSE ETF has very good reverse predictability. Overlapping area represents the amount of predictability between CPSE ETF time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of CPSE ETF price movement. The serial correlation of -0.68 indicates that around 68.0% of current CPSE ETF price fluctuation can be explain by its past prices. Given that CPSE ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of CPSE ETF for similar time interval.
|Spearman Rank Test||-0.03|