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MerVal (Argentina) Backtesting

MER
MERV -- Argentina Index  

 38,391  3,004  8.49%

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. Check out MerVal Hype Analysis, MerVal Correlation, Portfolio Optimization, MerVal Volatility as well as analyze MerVal Alpha and Beta and MerVal Performance.
Symbol
Backtest

MerVal 'What if' Analysis

0.00
11/30/2019
No Change 0.00  0.0 
In 3 months and 1 day
02/28/2020
0.00
If you would invest  0.00  in MerVal on November 30, 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 is related to or competes with HOME DEPOT. MerVal is entity of Argentina. It is traded as Index on Index exchange.

MerVal Upside/Downside Indicators

Downside Deviation3.79
Information Ratio0.0945
Maximum Drawdown19.65
Value At Risk(5.94)
Potential Upside5.91

MerVal Market Premium Indicators

Risk Adjusted Performance0.0705
Total Risk Alpha0.5886
Sortino Ratio0.0839

MerVal Backtested Returns

MerVal has Sharpe Ratio of 0.063 which conveys that the entity had 0.063% 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-one 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 0.1861% will be sustainable into the future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.63) 
correlation synergy

Very good reverse predictability

MerVal has very good reverse predictability. Overlapping area represents the amount of predictability between MerVal time series from November 30, 2019 to January 14, 2020 and January 14, 2020 to February 28, 2020. 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 -0.63 indicates that roughly 63.0% 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-0.63
Spearman Rank Test-0.68
Residual Average0.0
Price Variance2165288.39

MerVal lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

MerVal regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

MerVal Lagged Returns

 Regressed Prices 
    
  Timeline 

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?
Bullish
Bearish
98% Bullish
2% Bearish
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Check out MerVal Hype Analysis, MerVal Correlation, Portfolio Optimization, MerVal Volatility as well as analyze MerVal Alpha and Beta and MerVal Performance. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.