maintains Sharpe Ratio (i.e. Efficiency) of 2.0E-4 which implies the entity had 2.0E-4% of return per unit of risk over the last 3 months. Our philosophy towards forecasting 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 Russell 2000 which you can use to evaluate future volatility of the index. The index holds Beta of 0.0 which implies the returns on MARKET and Russell 2000 are completely uncorrelated. Although it is extremely important to respect Russell 2000
current trending patterns, it is better to be realistic regarding the information on equity existing price patterns
. The philosophy towards forecasting 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 Russell 2000 technical indicators
you can presently evaluate if the expected return of 4.0E-4% will be sustainable into the future.
Russell 2000 has modest predictability. Overlapping area represents the amount of predictability between Russell 2000 time series from July 25, 2019 to September 8, 2019 and September 8, 2019 to October 23, 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 Russell 2000 price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current Russell 2000 price fluctuation can be explain by its past prices.